-s.C no longer cancels off the first hit.
-In order to SC his Moon Slasher, you have to be somewhat far when the Moon Slasher (charge.d~u+P) connects, you'll notice he'll lag for a split second during the motion, that's when the SC is meant to be inputted. Due to the distance requirements in order to SC, it's good practice to combo into the Moon Slasher with at least one or two d.As. Mid screen the

-Mashing during Storm Bringer (hcb+P) no longer helps (awwwww) or Final Bringer for that matter except in a special case for Storm Bringer mentioned later. EDIT: So it turns out it's true you don't need to mash only if, your opponent doesn't mash himself. Just always mash, sorry for the confusion (one of those things you don't find out till you play a real human).
-hcb+B counter DOES benefit from mashing.
-Curiously, (I dunno if this was always the case) both Storm Bringer and Final Bringer do the exact same damage to the opponent but Final Bringer recovers slightly more life to Heidern.
-Storm Bringer bug still exist but extra damage is reduced compared to '98UM.
So I did some testing with the conditions of the Storm Bringer bug. For those who forgot, or don't know: If you perform a Moon Slasher that misses the opponent completely, as long as Heidern doesn't get hit, the next Storm Bringer you perform does more damage.
-After you "enter the bug", if the opponent makes you block OR even attacks (but whiffs, curiously...), your next Storm Bringer CAN do the extra damage but this time you DO have to mash otherwise it does normal damage again.
-BEST improvement to Heidern's gameplay BY far in '02UM is his unblockable Neck Rolling (charge.d~u+K). This move is so abusive now, especially if you do the B version upclose. Try this when you're close: jump A [Blocked], B Neck Rolling. Hit so often it's not funny. Next time mix it up with a Moon Slasher instead, or just go for Storm Bringer for LOLs
-I don't remember this being int he other KOFs, but if the opponent gets hit by a Cross Cutter (charge.b~f+P) projectile in the air, you can juggle with anything (normal, special or even (S)DM. Although I can't get the HSDM to connect). You can even do this in the corner: juggled.Cross Cutter, Moon Slasher, SC into Final Bringer for kicks.
EDITed: The mistake for the Storm Bringer bug, thanks Tel!