sfxf -
The heat that's gained in the mechanical room is lost from the equipment within the room. Heat loss from operating equipment is system efficiency loss. If you decide to hack off a piece of insulation from a steam pipe, for example, to keep the mechanical room warm in the winter, you'll be doing a disservice to the steam system because the boiler will have to fire that much more to make up for that loss, amounting to higher fuel costs.
This might work during cold weather, because you'd eat more fuel anyway firing a unit heater to warm up the room. Equipment surface heat loss is an uncontrolled heat source, however, that would also be emitting the same amount of heat while you're trying to cool the room in the summer, making the cooling systems work that much harder.
It would also be much more efficient to heat the space with a system designed for heating, such as with a unit heater with fin-tube coils. The fin tubes offer high heating efficiency while random heat losses from system surfaces are much less efficient in heating a room.
The answer here is to insulate all of your mechanical equipment such there there is very little heat loss from system piping and the furnace's surfaces. Use unit heaters in the winter to warm the space and draw-through cooling in the summer. No. Do not heat the room with the furnace - insulate the furnace and minimize equipment heat loss.
-CB