[quote=Blitzkrieg]
But they also have a history of using the nords to their own benefit. If Hemiskyr makes Talos worship look bad, he would have significant use to them.
[/quote]

Not necessarily. What does it demonstrate to the rest of Skyrim if the Thalmor aren't forcefully removing Heimskr when he's clearly the most vocal supporter of Talos (in game, anyways)? Even if he's obnoxious and likely widely ignored, people who already believe in Talos aren't going to stop because he "makes them look bad". The Elder Scrolls has well established that gods are very tangible entities, so it actually makes less sense to be an atheist in this world; especially when deities like Akatosh take the form of an avatar to send Mehrunes Dagon back to Oblivion, or the act of simply praying at an alter bestows a tangible blessing on you as well as cures you of disease. By not removing Heimskr, the Thalmor are sending the message that if someone as loud as Heimskr can continue being a public figure for the worship of Talos, then they can probably get away with it, too.