It's not a bug like @chkri mentionned.
It's just the way Leaflet handles its divs where it draws svg and where it draws canvas.
SVGs (basically everything extending L.Path) are drawn on a div container (leaflet-overlay-pane) with a smaller z-index then the div containing the heatmap canvas, and thus heatmap will always be on top of SVG markers.
A quick fix is to modify leaflet css and invert z-index of concerned containers.
z-index: 6; /* previously 4 */
z-index: 5; /* previously 6 */
z-index: 4; /* previously 5, store the shadows of L.Markers */
Note that by doing this heatmap and L.Marker will all be behind SVG Markers.