From a pure heat capacity viewpoint, heating cooler air is very slightly easier (on the order of a few thousandths at most for realistic temperatures) [0]. Don't think it'll be noticeable for the average heating system, though.
> we calculated everything, inefficiency, convection, conduction.
I'd be curious to how those calculations affect things. If the heating element is the same temperature, I'd think heating cooler air would be faster because heat conduction is faster across a larger temperature differential and you'd get "faster" convective mixing for air with bigger temperature differences. Have to admit I'm not sure what inefficiencies might come into play, and I haven't taken classes at that level so I wouldn't be surprised if I missed something.
[0]: https://www.engineeringtoolbox.com/air-specific-heat-capacit...
This was my 400 level thermo 2 class, we calculated everything, inefficiency, convection, conduction.