Hi Joern,
You cannot pass negative values to the heatMapSeries.Data.SetValue function - the x/y values passed there must always be in the range [0, gridSize). We just tested the control with the following code:

// set a chart title
   NLabel title = new NLabel("Wafer Chart");
   title.TextStyle.FontStyle = new NFontStyle("Times New Roman", 18, FontStyle.Italic);
   title.TextStyle.FillStyle = new NColorFillStyle(Color.AliceBlue);

   // configure chart
   NCartesianChart chart = (NCartesianChart)nChartControl1.Charts[0];

   NHeatMapSeries heatMap = new NHeatMapSeries();
   chart.Series.Add(heatMap);

   NHeatMapData data = heatMap.Data;

   heatMap.Palette.Mode = PaletteMode.AutoFixedEntryCount;
   heatMap.Palette.AutoPaletteColors = new NArgbColorValue[] { new NArgbColorValue(Color.Green), new NArgbColorValue(Color.Red) };
   heatMap.Palette.SmoothPalette = true;

   int gridSizeX = 100;
   int gridSizeY = 100;
   data.SetGridSize(gridSizeX, gridSizeY);

   int centerX = gridSizeX / 2;
   int centerY = gridSizeY / 2;

   int radius = gridSizeX / 2;
   Random rand = new Random();

   for (int y = 0; y < gridSizeY; y++)
   {
    for (int x = 0; x < gridSizeX; x++)
    {
     int dx = x - centerX;
     int dy = y - centerY;

     double pointDistance = Math.Sqrt(dx * dx + dy * dy);

     if (pointDistance < radius)
     {
      // assign value
      data.SetValue(x, y, pointDistance + rand.Next(20));
     }
     else
     {
      data.SetValue(x, y, double.NaN);
     }
    }
   }

   heatMap.XValuesMode = HeatMapValuesMode.OriginAndStep;
   heatMap.OriginX = -40;
   heatMap.StepX = 1;

and the control was working properly. What is the version you're testing with?