Heat Map grouping issue.

Anonymous , Try below steps

Sort by Column
Select the field (F1 or F2) in the Fields pane.
Go to the Column tools tab.

Click on "Sort by Column" and select the column that maintains the intended order.

Create a new column in your data model with a numerical value for each category in the desired order.
# Example in Power Query (M language)
Table.AddColumn(#"PreviousStep", "CustomSortOrder", each if [F1] = "Category1" then 1 else if [F1] = "Category2" then 2 else 3)

Use this new column to sort your categorical fields.
Maintain Sort Order in Drill-Down
Set the sort order for each level of the hierarchy individually.
Ensure that the sort order is consistent across all levels.

Conditional Formatting
Go to the Format pane.
Select Conditional Formatting.
Set the rules based on M2.