I understand this better now after more testing, there are only 3 layers for this shimmering in the light part of the demo. The near plane, the middle plane and the far plane. The shimmering effect is being applied to the middle plane only, ie horizontally the middle 1/3 of the screen. It is also being occluded by objects in the near plane which is correct.
However a real heat haze should continue from the middle plane to the far plane and be more pronounced in the far plane (like Nanite it should be calibrated) but it is only being applied to the middle plane and then it stops for some reason.