[quote=The Nexerus]
The Jarl won't let the Thalmor into Whiterun.
[/quote]

It shouldn't matter what the Jarls want, they're bound by the White-Gold Concordat. 

Irileth: "Was it cowardly then to accept the White-Gold Concordat?"
Balgruuf: "This again?! That was different. Was I given a chance to object to the terms of the treaty? No. The Jarls weren't asked. We were told. And we had to like it."

[URL=http://www.uesp.net/wiki/Skyrim:Balgruuf_the_Greater]Source[/URL]

"The White-Gold Concordat was the official name given to the agreement signed that ended the Great War of the Fourth Era. The Great War was fought between the human-dominated Empire and the Aldmeri Dominion comprised primarily of Altmer of the Summerset Isles. Although the exact cause(s) of the conflict aren't specified, the Elven Supremacist government, the Thalmor, as well as a few quotes throughout Skyrim suggest the Elves were the aggressors. The events of this occurred after the Oblivion Crisis (the events of Oblivion) and before those of Skyrim. The treaty was the only means to end the conflict for the Empire and heavily favors the Aldmeri Dominion, who would have otherwise crushed the Empire. [B]Among its legislation was the outlawing of the worshiping of Talos, disbandment of the Blades and giving free reign to the Thalmor to move throughout the Empire and to hunt down any worshipers of this outlawed deity,[/B] and the slaughtering of the last of the Blades." 

Bolded to highlight relevant section.

"A large tribute of gold would be paid to the Aldmeri Dominion, the Empire would give a large portion of southern Hammerfell to the dominion, the worship of Talos would be banned from the empire, The Blades would be forced to disband, and the Thalmor may have free reign in Skyrim (including the Thalmor Embassy) to stomp out the worship of Talos."

[URL=http://elderscrolls.wikia.com/wiki/White-Gold_Concordat]Source.[/URL]

Since the Jarls are bound by the White-Gold Concordat, which allows Thalmor Justicars free reign to hunt down and arrest Talos worshipers, Heimskr should have been quickly found and detained with Jarl Balgruuf unable to speak against it. The City Guard can deny the Alik'r Warriors access to the city because Hammerfell and Skyrim have no formal treaties to honour, so the Jarl's laws can be enforced in that case. 

It's actually in the game files that if the Empire takes control of Whiterun during the Civil War, Heimskr was meant to be arrested and taken to the dungeons. It was never actually implemented. 

I imagine the reason Riften's been spared from Thalmor presence is because Riften sided with the Stormcloaks, which as you know are rebelling against both the Empire and the White-Gold Concordat.