You want a balance between fresh air exchange and heat/humidity retention. Basically, the more air you let in and out, the faster the heat and humidity escape. Most of the time, the space that is left open for the heat lamp provides enough ventilation while also preserving the temps and humidity.

Besides, when using a heat lamp - you don't have to worry about moisture hanging around - the bulb usually sucks most of the moisture out of the air as it is.