There is still a load, even if it's not in gear...
But you sort of grasped my comment about what an idling engine DOES warm up. On a fwd vehicle, the transmission might warm up a bit, but you could be sitting there with warm air at the vents and a half chilled tranny.
The transmission doesn't really warm up until you put it to work, which means driving down the road. So, my argument is that the heat generated by combustion in the engine doesn't warm up as much as you think it does. Also, the heat generated by friction only helps warm it's most immediate surroundings.
If the car is in park (or in gear with the clutch in), there is very little heat being generated in the tranny. Fluid may be circulating, but that's not going to generate any heat.
Anyways... It's always good to drive gently at first regardless of how long your vehicle has been idling. There are still a lot of cold parts that need to warm up. In a rear wheel drive vehicle, for example, the rear differential could be ice cold while the engine is overheating
Just because you've got warm air in the cabin, doesn't mean you can get in and drive like "normal".