If you have a test lite and if you can find the wire for the warmers check to see if you have power to them. If the fuse is good you should have power them with the key on.
It seems that HD heated grips are having issues. When working at HD shop we prepped and installed HD factory hand warmers on all 25 of them. There was a issue of some sort with over half when put into service....:newsmile077:
Here from the instructions with some troubleshooting: http://www.harley-davidson.com/en_US/Media/downloads/Service/isheets/-J04259.pdf