Far as I can remember the 2003 Heritage models were actually a special package. You know like an STX, FX4 and that kind of deal. The name Heritage was used for the 2004 model trucks that were the previous body style.
I actually still have a 2003 F-150 book from the dealership and the truck you purchased was a special truck they offered in 2003. The name was used to celebrate 100 years of F-series trucks. Too bad they decided the following year to just go ahead and use the name again for the leftovers!
I assume the use of the *heritage* name on the 04's was to help determine the difference in the parts for the new body style 150 and the *old* body style. I imagine it would have been a pain in the a$$ that year to figure out which F-150 someone needed a part for, considering there were two different styles.