What is a "heterogeneous query"?
Does "Heterogeneous" just refer to querying two different database engines in this context?


Basically, yes. A "heterogeneous" query is executed on a "heterogeneous linked server". All queries to this linked server will be heterogeneous.

And "heterogenous" is a subset of distributed queries


  
  Distributed data stored in multiple instances of SQL Server.
  Heterogeneous data stored in various relational and nonrelational data sources accessed by using an OLE DB provider.
  


But "heterogeneous" pops up every now and then:

See linking servers on MSDN


  The ability to issue distributed queries, updates, commands, and transactions on heterogeneous data sources across the enterprise.


sp_addlinkedserver


  A linked server allows for access to distributed, heterogeneous queries against OLE DB data sources. 


And an MSDN example of querying Active Directory in "Joining Heterogeneous Data"

And MSDN again "Heterogeneous Database Replication"