Making the assumptions that your heater has a neon indicator bulb (Orange glow to it). And that you can't Hear the thermostat clicking on and off with this flicker. No I don't think you have to worry. It is normal for these lamps to have a irregular flicker to them, as they are effected by visible light, radio active sources, cosmic rays......bah bah bah.
As for the lights effecting them, a couple of things I can think of at the moment are. The voltage change for the lights is effecting the indicator, normally this would have the opposite effect to the one you describe tho. Or your eyes are playing tricks on you , so when the lights are on the illusion that it is not flickering is created.