Does this just happen the first time you switch it on, say, after setting up in a CG? I have noticed that it took 2 minutes or so, whcn first setting up in a CG. Of course, after that, the switch usually doesn't get moved (except for the thermostat, which my wife is always messin with bc "it's too cold".
The other day, at home, I turned the t-stat for the "garage/upstairs movie room" from "off" to "heat"; (this is a standard residential oil burner/hot air furnace), and it too, took several minutes before it kicked on. I even double checked the t-stat setting twice to make sure that it was set quite a bit above ambient (it was; ambient was 50 and stat was set at 65).
I'm not HVAC expert, so I can't tell you why. But I've seen this happen, but ONLY the first time I turn the t-stat switch to "heat" or "cool".
In both instances, these are digital type t-stats, and not the old bi-metal/mercury bulb stats.