What is the best way to mount a tankless water heater to a concrete wall?
I think you should mount a plywood backer plate with tapcons or ramset nails. The advantage of having the heater mounted to the plywood is that it will be easier to place and screw on once you have the plywood secured well to the wall.  If for some reason you need to remove the heater for service, you won't have to deal with removing tapcons which rarely go back in again.  They always strip out the concrete and won't grip properly when you try to reinstall them.