Hi Andrea
As you have selected only finished goods in the Heuristic, it will not propagate the demand to dependent articles and will not plan them. It will only plan specific products i.e. finished products and specific location which is defined in the heuristic job.
For you requirement you should go for Multilevel Heuristics. Please find below the link from SAP wiki which will explain the basic way of working for different SNP Heuristics.
Differences between SNP Heuristics modes - Supply Chain Management (SCM) - SCN Wiki
Please go through them and let me know if it helps you.
Thanks
Amol