I found that to be true last winter. I think there are two factors that make a heated steering wheel unnecessary.
1) The steering wheel warms up far faster than the steering wheels in my previous two cars, a rubberized wheel in my previous Mazda CX-5 and a leather wheel in my previous Volvo S80 (with Winter Package Option, LOL!). Both of those wheels had a lot of thermal mass and would stay icy cold for 20-30 minutes. The Model 3 steering wheel gets warm just from your hand heat very quickly. I'm not sure if it's due to insulation or if Tesla put a radiant heat reflector under the leather. In any case, the surface of the steering wheel appears to be thermally isolated from the structural part of the steering wheel.
2) with the continuous front vent of the climate control running the length of the dashboard, it naturally points at the steering wheel. Since the warm air starts coming out in under a minute, and I typically preheat the cabin for 5-10 minutes during cold weather, the steering wheel is tempered before I get in the car. Even if I don't pre-heat, the wheel warms up quickly from the warm air blowing on it and my hands. It doesn't conduct heat from your hands to the structural part of the wheel.
Never missed having a heated steering wheel, cabin heater takes care of it when you pre-condition car just to drop the windows to open the doors on a really cold day. Warmest car in winter I've ever driven.
I guess the warmer climes of California, a heated steering wheel avoids the HVAC, but where it’s very cold you have to use HVAC anyway first to be able to get in your car and thereafter to keep your windows from icing up. Personally I wish they had a proper winter package to heat the wipers, switch off repeat wipe, ideally heat the side window lower seals, heat the front sensors and make allowance for tyre pressure change due to low temperatures.