That's normal for all vehicles ( with the exception of some older air-cooled vehicles ), not just the ML Car heaters rely on the circulating coolant for heat and when it is colder outside, it takes longer for the engine to heat the coolant to the point that you can heat the cabin. If your ML has seat warmers, they can heat up a lot faster than the heating system to keep you warm while the engine is reaching normal running temperatures or another alternative is a block heater. A block heater is an electrical heater that warms the coolant while the engine is off.
This allows for easier starts when it is very cold outside and the added benefit is you get heat inside the cabin a lot faster.
That is how car heaters work. The engine needs to get the coolant up to temperature before you can get warm air. It uses the coolant as the heat source, so no heat until the engine is warmed up.
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