I have my cleats set with quite a lot of toe-out, which makes heel rub quite likely. My solution is +4 mm Shimano DA or Ultegra SPD-SL pedals. The standard pedals cause heel rub, while the 4 mm wider ones comfortably clear. I don’t notice the extra width at all. I don’t think heel rub is a big deal, but I prefer to avoid it if possible.