Is it good that windows are shut when heating is on
There are very few workplaces or residences which are so air tight that air cannot exchange with the outdoors adequately.  Particularly if an exterior door is opened for a few seconds once in awhile or a heating or cooking appliance exhausts outdoors (thus drawing in outside air).  Buildings which are designed to be really airtight will have an outside air intake, usually with a heat exchanger for energy efficiency.

In ordinary construction up to the 1990s, there was little concern of consuming interior oxygen, even with a small apartment and a large number of people visiting, cooking, etc.  Doors, walls, windows, floors, closets, plumbing and electrical holes simply were not that tightly sealed.

If this is truly a concern for you, rent or buy an air oximeter.  An "inexpensive" laboratory model for O2 is less than $1000 here (a bargain compared to many).  Lab instrumentation rental businesses typically require a month or two minimum rental.  To get a reasonably complete understanding of the air composition, a model which reads both CO2 and O2 is desirable.