Hi Eric,
"Like to know if the heading values will be generated when the images are captured in Indoor Mode?"
No, unfortunately not. The heading values that you reference are derived from the GPS data captured by the device, when using Indoor mode GPS is more or less ignored as it is assumed that you will have poor to zero signal.
"I did few test using walk & indoor mode and it seems like the text files output from processing indoor model data doesn't contains heading values at all."
You might get these values against your data when you use "Walk" mode, but that's only because it's an outdoor preset. What you will probably find is that if you capture indoors using "Walk" mode, Immersive Studio will not output that portion of the capture, again due to it having poor quality GPS data against it.
"Like to know if there is any way to obtain the values for heading parameter when capture in indoor?"
Not in this context, but you could take a look at the other output file "outputFormatIMU.txt" which contains the IMU data - the penultimate 3 columns within this represent the values of the earth's magnetic field in microTesla. From those values, the compass heading could be estimated. Unfortunately however, these particular values are not listed on a per-image basis.