First off, do the lights dim slightly when the heater is initially turned on in settings two and four? Secondly, does it have an even number of heating elements? If so, I'm going to guess that in switch settings 2 and 4 the elements are on all the time and either in series (2) or parallel (4), and thus draw a steady current. The #1 and 3 settings would then likely also be series and parallel respectively, but with the SCR/Triac actively controlling the current. Perhaps for some reason in setting 1 it switches off completely periodically, while in setting 3 it stays on continuously, but obviously drawing a higher current than in setting 1.
It's a shame you can't get your hands on a scope - it would be interesting to see what the line looks like.
-Pat