You don’t just need energy to do work. You actually need an energy *difference* between two points to do work. When you do the work, it brings the energy levels of those two locations closer together by transferring some from the higher energy point to the lower point.
Heat death is occurs once the energy is spread pretty much equally everywhere. Since there’s no longer any energy difference between different points in the universe, no more work can be done. The energy is still there though.
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