Sentry keeps the car awake. The loss is due to running the computer, coolant pump etc. This drains in the order of 200-250w continuously. That means that in 4-5 hours you have consumed 1kWh. While sleeping, the car will consume closer to 20-25w to keep the LTE and bluetooth antennas awake for car unlocking, remote access etc. It's roughly an order of magnitude less energy draw.
Anything else that keeps the car awake will have the same effect. In cold weather I don't think you lose more energy. The car can sleep as well. The battery does cool down however, and a cold battery has less energy available. That energy is not lost/spent, it's just unavailable until the battery warms up again.
The heat pump should have no effect during that time. However, cars equipped with a heat pump have a better cooling/heating system (octovalve vs superbottle) so they might be more efficient in heating up the battery when you start driving. They are typically more efficient with heating the cabin too.