It appears, according to the manual, the feature is available only if you have remote start.
Remote Start Comfort Systems — If Equipped
When Remote Start is activated, the heated steering
wheel and driver heated seat features will automatically
turn on in cold weather. These features will stay on
through the duration of Remote Start or until the ignition
switch is cycled to the MAR/RUN position.
NOTE: The Remote Start Comfort System can be activated
and deactivated through the Uconnect® Settings. For more
information on Remote Start Comfort System operation,
refer to “Uconnect® Settings” in “Multimedia.”
However, it seems like it turns on even if you don't use remote start as long as the temperature is below a threshold.