Autopilot "Heading" modes by definition do not apply wind correction. If they did, it would be called "Track" mode.
For the most part, AFCS (automatic flight control System) heading mode is only used to intercept tracks or courses and in the event that ATC issues vectors during the approach phase.
If some aircraft had a "wind corrected" heading mode as you suggest and others had a conventional heading mode, there is increased potential for collision.
For example, if you had 2 aircraft on parallel tracks, one with "wind corrected" heading mode and the other without, and both were issued a heading vector from ATC to maintain 120 degrees, then if the winds were right, one aircraft would eventually drift into the other aircrafts flightpath.
Some FMSs have an "FMS Heading" mode which simply supplies the AFCS with psuedo-heading reference using the selected RNAV mode (INS/LRN/FMS/GPS etc.). The FMS actually takes out any correction for track or winds in this mode. The convenience of this mode is that the pilot does not have to switch AFCS modes to execute vector commands.