Your brother is a moron. I hope the firefighters/your parents lectured him on common sense.

How else did he think heat worked?

I feel like I'm missing something important that's different in your area... Why exactly did he think there's a fire from the heater turning warm?

As stupid as it sounds, I could see this happening. Electric, or gas, furnaces naturally collect dust during the downtime of summer. As soon as the heating coils warm up, or the gas burner ignites, it can burn the dust off of the main air passage. The result, as one can imagine, is the 'lovely' smell of scorched dust, which smells remarkably like something burning. If he's not used to forced-air heating, and grew up around radiator-based heat, it's certainly possible that he'd panic at the smell of burning dust.

Let your brother know this is normal and don’t let them say he is an moron. It is the burning of dust. It is completely normal so dont be mad at him.

Fire departments (at least in my area) get called for that pretty frequently at the beginning of winter.