Meaning of “gene expression heterogeneity” of embryonic stem cells
Heterogeneity is a noun meaning:

the fact of consisting of parts or things that are very different from each other

In scientific use the context determines what is differing.
The context here is gene expression in individual embryonic stem cells (presumably single-cell RNASeq). Here the heterogeneity in expression would be for the genes

…(Neurod1, Klf4, Otx2, Pax6)

for which the expression is

…undetected in most cells but highly expressed in some specific subpopulations.

The conclusion is that although the embryonic stem cells may appear to be a homogeneous population (all alike) and do show similarities in many genes that they express, they must, in fact be a mixture of two (or more) types. (This makes the generally accepted assumption that the basis for distinguishing cells is the genes they express and the proteins they make.)
Thus the idea, expressed in the question, that the cells are identical is incorrect. I know little about stem cell differentiation, but I would assume the implication is that the subpopulation will differentiate on a different path to the rest of the population, or that it has already started to differentiate, or something of the sort (which I imagine is discussed in the paper).