While it doesn't surprise me that not everyone knows what's going on, it does surprise me that so many people with obviously no idea how a car's heating & A/C system work, would make posts that merely guess how the systems work.
Here's the deal. Cars have an A/C system that includes, inter alia, an evaporator. All air that passes over the evaporator gets cooled and dehumidified.
Cars also have a heater core. This core takes coolant from the car's cooling system (the stuff you put in your radiator). Air that passes over the heater core gets heated. See
http://auto.howstuffworks.com/cooling-system10.htm.
When you have the A/C on and the heating knob up, air passes over both the evaporator and the heater core. So the air is cooled and dehumidied, then heated.
You may not feel an effect because the heater core is so hot (about 180 to 190 degrees) that the difference between passing cold outside air over the core and passing even colder air can't be felt.