Why do I need to use a sub query to filter down a grouped select?
You can't reference an alias in the WHERE clause - this is just because of the order in which SQL Server parses the statement.

There have been many discussions about this here and on StackOverflow. A couple of examples that give some background:

https://dba.stackexchange.com/questions/19762/why-is-the-select-clause-listed-first/

Why are queries parsed in such a way that disallows the use of column aliases in most clauses?

An alternative would be:

SELECT dv.Name
      ,MAX(hb.[DateEntered]) as DE
FROM 
    [Devices] as dv
    INNER JOIN 
    [Heartbeats] as hb ON hb.DeviceID = dv.ID
GROUP BY dv.Name
HAVING MAX(hb.[DateEntered]) &lt; '20130304';