Yes, that is correct, and here are three helpful articles on the topic:
https://community.alteryx.com/t5/Alteryx-Designer-Knowledge-Base/Tool-Mastery-Insight/ta-p/319213 - Tool mastery on Insights. Really good foundational knowledge.
https://help.alteryx.com/current/designer/insight-tool - Help article on the insight tool
https://help.alteryx.com/current/designer/interactive-chart-tool - Help document for the interactive chart (has heatmap info)
The Z axis needs to represent values for a color gradient in sections of the heatmap