I have found that if you leave the setting on Auto you get no heat but if you press the buttons on the right with the arrows showing the air direction then you get lots of heat. Also you can make the fan blow more or less. When it warms up I turn it back to Auto and A/C off.
In the mornings when I first use my Cactus and the climate is set to auto, no air at all is blown into the car until the engine warms up, this can take 3 or 4 minutes, a little longer on a cold day. When the engine reaches temperature the fans come on and warm air is blown into the car from all vents. In the afternoon when the temperature is higher, at least here in Spain, the hot air comes on more quickly. So it just maybe a clever way of stopping us being blasted with cold air at the start. However, if your car continues to send out no air or cold even once the engine is up to temperature, then I guess you do have a problem. Hope this isn't the case.