Unless the cat is an avid mouser/hunter, or extremely curious, it seems likely that it'll just ignore the hedgehog. My cat has been poked on the nose twice and has since given Lily a wide berth when she sees her out. I don't think there'd be a problem with having the cat around the cage, but you'll need to make sure the cage has a top on it so the cat can't jump in, and if you use a ceramic heat emitter to keep the cage warm, you'd need to make sure it was securely attached so the cat couldn't knock it over.
As long as you could do those two things, I don't think you would absolutely have to keep the hedgehog in a room closed to the cat, as long as the cat wasn't outright aggressive towards him.
As long as you could do those two things, I don't think you would absolutely have to keep the hedgehog in a room closed to the cat, as long as the cat wasn't outright aggressive towards him.
