Presumably you cant burn Issureoi haanaah for fuel/heat.
Right. Which nobody is doing here. The hana’ah they’re getting is the mitzvah, which is muttar because mitzvos lav leihanus nitnu. Any ensuing celebration is a celebration of the mitzvah and not hana’ah from the item.
If someone toiveled (during the winter) in a mikva which was ne’esar b’hana’ah to him, which is muttar because mitzvos lav leihanus nitnu and there’s no physical pleasure, he can definitely make a party to celebrate that he was m’kayem the mitzvah of tevilah.
Not sure what relevance pyromania has to your question.