Can I heat frozen waffles in the oven without a baking sheet?
Not only is it okay to do so, I frequently place waffles directly on oven racks after making them fresh to keep warm or to cool before freezing (without ruining the crisp crust, as happens when you put them on a plate or stack them).

There's no reason you can't heat items you'd normally put in a toaster (or toaster oven) in a normal oven.  The only possible problem is having to clean up any mess that results (in this case likely only crumbs) after the oven has cooled.  

Just make sure the racks/grill are clean, and watch the temperature and time so they don't burn.