Heater problem when its really cold outside

[Thymeclock]

Perfectly normal. The trans will hold 3rd gear to get it up to operating temp.

You are correct in that it is normal. But on an automatic, it is actually already in 4th gear, not 3rd. It won't go into torque converter lockup (which is the equivalent of overdrive, and it feels like an actual gear shift) until it is warm enough to do so.