Paul Randal gives a very special case in which heap pages can be (temporarily) linked together:
Now the pages are linked together!
Note that this is an OFFLINE rebuild, which is the default. What happened is that the offline ALTER TABLE … REBUILD operation uses the part of the underlying functionality for an offline ALTER INDEX … REBUILD operation that builds the leaf level of the index. As that functionality builds a doubly-linked list of pages, the newly rebuilt heap initially has a doubly-linked list of pages! This doesn’t happen for an ONLINE rebuild of the heap, which uses a totally different mechanism.
Although the pages appear doubly-linked, that’s just an artifact of the mechanism used to build the new heap – the linkages aren’t used or maintained.
In other words, you get zero benefit from this. Click through to see Paul’s test script.