At the start of Thor: Ragnarok Surtur says that Odin is not in Asgard. Heimdall could see it because he is all seeing. So why didn't he inform Thor that Odin had gone missing like Thor saw Asgard by Heimdall's vision later on in the movie?
He was a fugitive
Heimdall isn't around at the beginning of the movie. He's a fugitive of the throne. He can't tell Thor about Odin because he wasn't present.
Thor: Who are you?
Skurge: Don't you remember? I'm Skurge. We fought together on Vanaheim.
Thor: Right. Where is Heimdall?
Skurge: That traitor. No one knows. He's a fugitive of the throne.
Skurge: Yeah. You see, Odin charged Heimdall with negligence of duty but he disappeared before the trial. Hard to catch a guy who can see everything in the universe.
Thor didn't need him to tell him
In addition to the previous point, regardless of Heimdall's ability to have known that Thor had returned and thus go tell him, Thor did not need Heimdall's help. It takes him all of 2 minutes in the film to realize that Odin is Loki and that the real Odin was missing. It wouldn't have added anything to the film to have him show up and tell Thor.