As Ms Guard says at the end of Herot, and specifically with regard to the Norse, "Dont believe everything you hear."
One of the interperitations of the Ragnarok myth is that it has already happened, perhaps multiple times, and the only god who knows for sure is Baldur. It could be that Heimdall lost not his life, but his mantle in battle against Loki. This could explain why a god known for his rigid adherance to his duty would walk away from the job and open a bar.