I don't believe it is true. I have had a yorkie for over 6 years. My immediate family as a whole has 5 (Bender, Simon, Carrick, Ivan, & Maria), and we have always used cheese slices to help disguise heartworm pills. Works like a charm
Our vet is even the one who suggested it way back when my husband and I first bought Simon for my mother. I wouldn't worry yourself over it. Ask your vet if it makes you feel better, but I'm 99% sure it's incorrect.
~LeAnn