I'm a bit confused. Your last paragraph seems to say that the coolant sensor is working fine. It should drop down in voltage as the engine heats up to operating temp just as you describe. The initial reading of 4.97V at THW is not correct though and suggested an open circuit. Something is not consistent here.
The HT current is monitored by the ECU, and an open or short should trigger a code 21. Your symptoms sound a lot like a O2 sensor problem, and no heater current when cold will delay the switch to closed loop. Have you stuck an ammeter in series with HT and actually measured HT current? The ECU switches it on an off according to operating conditions. I forget the details but can look it up.
The HT current is monitored by the ECU, and an open or short should trigger a code 21. Your symptoms sound a lot like a O2 sensor problem, and no heater current when cold will delay the switch to closed loop. Have you stuck an ammeter in series with HT and actually measured HT current? The ECU switches it on an off according to operating conditions. I forget the details but can look it up.