I think you should let it go IMO, or change hotels if you aren't happy.

Older buildings often used the same infastructure for both cooling and heating. A switch over has to occur at some point, and with that in mind, its not possible to have some demand heat, and some demand cooling. By offering you a space heater, they have fulfilled the needs. Since you aren't paying the electric bill, and they have technically provided heat, I'm not sure you could demand how the heat is provided.