You didn't specify but suspect the two heaters on HIGH are pulling 1200-1500W and the small one 800W. Potentally that is 3800W or about 32A on 120VAC. That is more than the input line is rated and possibly only the cold weather keeping it in bounds.
Twere me I'd put an ammeter on the input cable (one of
these, a plug and socket from Home Depot or Lowes, and about a foot of #10-2 with ground makes a nice portable system)