The down-to-earth Yorkshireman is nothing if not realistic. Regularly taking his team armed only with a knife into Premier League gunfights (and in some case global arms races) was always going to bring disappointments. How they recover will decide their season.
Some thought overseeing his club's biggest league defeat, 8-0 at home to Newcastle United, would bring a P45 in September.
His footballing obituaries were being written after a 5-0 loss at Arsenal secured the worst 10-match start to a Premier League season. He just planned a desperately-needed win over Wolverhampton Wanderers.
Although the numbers were smaller, a 3-1 defeat to Bournemouth felt bigger. Much bigger. This Saturday’s trip to bottom-of-the-table Burnley is massive. A repeat performance would be bigger still – and not in a good way.
Those who expected to pick the Cherries off easily might have forgotten they were on the back of a 2-0 win over Newcastle.
But even after Saturday's easy win, Bournemouth are in the Premier League's bottom five.
As Heckingbottom rightly pointed out, the Blades cannot pick and choose when they win points but matches in their "mini-league" at the wrong end of the table – especially at Bramall Lane – have to be taken advantage of, and they were in good shape to do it.
First came that win over Wolves, then a come-from-behind draw at Brighton and Hove Albion lifted them off the bottom. They have not played since, yet moved up another spot in the interim, thanks to Everton's financial fair play breach.
Oli McBurnie and Anel Ahmedhodzic were back from injury, albeit only fit enough to play a half, but the Blades’ standoffish performance completely flattened the mood.
Bournemouth had so much of the ball before Semenyo easily drifted inside Luke Thomas and found Tavernier – probably not the one of the two runners behind the Blades' back line he was looking for – to finish calmly after 12 minutes.
It turned to irritation. It was mainly at home players who kept giving the ball away too easily but every bad or even just finickety decision referee Andy Madley made was leapt on too. It was the equivalent of kicking the cat from fans used to in-your-face football but presented with social distancing.
Next came desperation, as in the howls for someone to make a run when Oliver Norwood picked the ball up in the 38th minute with a counter-attack begging to be sprung (they lost possession) or for the midfielder to shoot when Cameron Archer squared for the midfielder at the end of the half (it was blocked).
Then boos as Wes Foderingham came out of his area just before half-time, tripped over the ball and giftwrapped a Kluivert goal.
The half-time introduction of McBurnie and Ahmedhodzic brought hope – the Blades had, after all, been outplayed in the last two first halves – and a huge roar of encouragement when they won a 49th-minute corner, but it hit the first man.
Two minutes later Bournemouth broke from a drop ball deep in their own half, played it left, then casually all the way across the field. Ahmedhodzic switched off as Tavernier headed in Adam Smith's cross.
A lot of fans were in the pub or the car when McBurnie headed home in the seventh added minute to make it 3-1, but from those that stayed there was only sarcasm – "We've scored a goal!" – then more boos at full time.
How good Bournemouth were was hard to tell. Ian Wright hit the nail on the head in the Match of the Day studio: "I don't think it will come any easier than this."
How bad their hosts were was painfully clear. A blind man could have heard it, a deaf one would have smelt them stink the place out.
Heckingbottom must shake it out of his players before Turf Moor.
"We've had cruel defeats where you can be half-proud and heartbreaking defeats where you feel terrible but with this one we feel like we've contributed to it," he said.
"We talk about it not being an excuse for the next game and we've been pretty good at that.
"I'd be ready for another game on Wednesday night but we've got to wait to get this out of our head and make sure we understand that we are better than that.
"We can't make those errors and expect to get points so hopefully they are our two for the season because we have to almost play the perfect game to win."
That they were so far from that on Saturday of all days was hard to take.
Sheffield United: Foderingham; Baldock, Trusty, Robinson; Bogle (Ahmedhodzic 46), Souza (McBurnie 46), Norwood, Thomas (Osborn 66); McAtee (Osula 81), Hamer (Fleck 81); Archer. Unused substitutes: Davies, Lowe, Traore, Slimane.
Bournemouth: Neto; A Smith, Zabarnyi, Senesi, Kelly (Kerkez 46); Christie, L Cook; Semenyo (Sinisterra 66), Kluivert (Billing 66), Tavernier (Brooks 81); Solanke. Unused substitutes: Mepham, Rothwell, Ouattara, Moore, Travers.
Referee: A Madley (Huddersfield).