A space heater in space could only transfer its heat through radiation instead of conduction and convection, so only a small portion of its heat would escape. It would get hotter and hotter until it melts and stops working.
Essentially, that's how the ISS regulates temperatures. It has big external panels that radiate excess heat into space because there's very little matter up there to conduct heat away.
The oil filled ones are still conductive/convective. They heat up the air that is directly in contact with them which then spreads around the room. You wouldn't feel the heat radiating out from across the room, for example, but if you touch the surface, it would be uncomfortably hot.