Sounds, to me, like you nailed it!He's a happy cat, he found a new spot next to the heater, so he sleeps there all day.
Watch when he goes to lay by the heater. I bet you a nickel he knows the sound of the furnace kicking on. When he hears it, I bet he knows the heat will be coming up, soon. When the furnace comes on he'll go lay down by the heater.
That's what Casper does! One day, I heard the thermostat click on. About ten seconds later, here comes Casper. He laid down by the heater and waited for the warm air to come up.
I bet your cat either knows or will soon learn to associate the sound of the furnace turning on with warm air coming from the vents, too!