The heater is warming the air that’s in contact with it, which becomes lower in density and rises. Lower density air also has a different speed that light can travel through it (all materials have such a speed, with empty vacuum having the fastest speed – the speed of light).
Because of this difference in speed between room temperature air and heated air, any light that travels through the space around your heater is refracted – bent – roughly randomly, thus you get waves of what is essentially shadows projected onto a surface.
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