Resolved - I know this is an old thread, but finding little definitive instruction on the matter, I'm going around online to describe what fixed it for me.
2012 Sierra Denali HD Heated Steering Wheel Fix
Symptom was the steering wheel switch for the heated steering wheel would not light (not even flash), and the wheel wouldn't turn on. If yours flashes, that may be a different problem and solution.
There is an inline fuse under the steering column. It is accessible laying on the floor and reaching up from the pedals, no need to remove the column covers. The line is brown. The fuse is 7.5A. There was electrical tape wrapped over the fuse head and holding the fuse block to the wire for support. The fuse was fine, visually, and with an ohm check. While it was out, I pressed the heated steering button for a few seconds, then put back the same original fuse. Now it works.
My theory is that the little brain that controls the wheel got confused, and the only way to unstick the wayward byte is to remove power via this specific 7.5A fuse. As with resetting other electronics, I added the step of pressing the power button with power removed to dissipate any remaining charge in the ICs and capacitors that may exist in the controller.
I've seen a similar issue in a power roof that "forgot" its park position, and the only way to reset the brain was to remove power directly at the unit (not even pulling the battery lead would work), and give it some time to fully discharge.
I'll be posting this story a few other places as I find similar threads. Good luck.