Can you give the full name of the food? Most of Purina's foods are pretty awful, some are less bad, but I'm not a fan of the brand in general.
If he's getting a good quality cat food (preferably a mix of two or more), he'll be getting what he needs and it won't hurt him if he refuses to eat anything else. It's just a good idea to offer things so they can get some fresh sources of nutrients and since bugs are a large part of their diet in the wild.
Tanks do keep heat in well, but they're not a good choice for hedgehogs. They also can have moisture build up at the bottom because they don't have good ventilation, even with no lid or a screen lid. If you want something that will hold heat well, it'd be a better idea to use a modified plastic tote - you can drill or melt holes in the sides for improved ventilation, but they still hold heat better than wire cages.
What temperature is the cage staying at, do you know? Heat lamp is great, and definitely an improvement on how he was being kept! But it's important to know the actual temperature too, and for the lamp to give off heat only, no light.
I'd still take him to the vet, just to make sure of what's going on with him. Situations can sometimes be different, even if it looks similar. And if you haven't had him at the vet yet, it's a good idea to see a vet before you have to take him in for an emergency situation. Hedgehogs should have wellness visits at least once a year, some people do twice a year because they're so small & problems can come up so quickly.