Is my heavy cream not actually heavy cream?
You're comparing different quantities. A serving of cream (per your label) is a tablespoon. You're comparing that to 1 cup (or 16 tablespoons) of milk. 

The percentage that you're seeing is not what percentage of your dairy product is fat, but the percentage of the recommended daily amount of that nutrient found in a single serving. % Daily Value is figured using 2000 total calories per person, per day.

From @Jefromi in comments: "And a tablespoon of cream is 15g, so with 5g of fat, that's indeed about 33%, right in the expected range. Similarly the milk is 8g of fat out of about 237g, or 3.4%, what you'd expect for whole milk."