Not sure why your CEL suddenly went out. Wait to see if it comes back when it warms up.

Cold weather DOES make for bad MPG, but running the heater isn't the reason. Nearly every moving part takes more power because it's cold & stiff. During the first 2 or 3 minutes the cold air requres more fuel to create a burnable mixture (until the engine warms up). Bad MPG is most severe on short trips in cold weather.