The both had at least once scene featuring them cut out.
Pilgrim's was at Danny's funeral, where Tony Pope (the reporter) starts hassling Harrigan for a story again, and Pilgrim turns around and throws him to the floor. You can see behind-the-scenes footage of it in the Predator 2 making-of.
Heinemann's was outside the subway after the massacre, where the press give him a grilling over his failure to catch the mystery killer (the Predator). He begs Harrigan to help him deal with the reporters but Harrigan refuses. That's only in the novel, but if you watch the film very closely you can see Heinemann for a split second when Harrigan first arrives at the subway crime scene. He turns to the camera, obviously about to say something, but then it cuts to Harrigan running for the entrance. Based on the way it's edited, I'd say the scene was shot but then removed.
