I would say that Catherine probably knows Heather better than Gil does. Heather figured out Gil right away, but I don't think he ever figured her out in all of the time they spent together throughout all of the episodes. That's why he was intrigued by her. She kept him interested in figuring out all of her "secret" layers, which are mainly the many layers of a woman's personality. With Catherine, I think the two ladies had a very good understanding from the beginning. When Heather told Catherine "Go ahead. Ask. 'How could I do this for a living?'" and Catherine said that wasn't what she was thinking. She wasn't thinking that because, as a former stripper, she already knew how a woman could do the kind of work Heather did. Catherine had already figured her out by that time, in just a few short moments of being around her. I think that's why Heather was comfortable enough to bring up her daughter while talking to someone she had just met, which if you think about it, wouldn't be something you'd see Heather do with someone else. She didn't have to hide any more of herself, because Catherine already knew.