I don't think you made a mistake in choosing a CNG heater, if you have CNG readily available. CNG is a great boat fuel for stoves/ovens/heaters -- much safer than propane as it is lighter than air. It's one of those unfortunate things that CNG didn't become the norm/standard for boats instead of propane, but there you are.
However -- I am not a fan of that Force 10 Cozy Cabin heater, if that's the model you purchased. I am not keen on the open flame, and it's heat output rating is not very high.
Also, the propane version of that heater is notoriously "wet", meaning it tends to release a lot of moisture into the cabin as a by-product of propane combustion. But I have no idea whether this is an issue when using CNG as a fuel -- I would be interested to hear from others who might know more about the by-products of CNG combustion.
We've been discussing/debating heaters a fair bit in this other thread
recently. Might be worth reading to hear about some of the pros/cons of various heaters and fuel sources.
For bulkhead-mounted heaters, I and some other owners really like the Dickinson units which have sealed combustion chambers and double-walled chimneys. I can't remember whether they are available for CNG fuel or not (would suspect "yes"), but I do know diesel versions are available if that's the fuel for your engine. Some feel diesel is the best choice for a fuel, because of its higher btu output and lower consumption.
Good luck in any case!