Thats how the system creates heat - by scavaging heat from the engine coolant loop. The heater core in the dash looks like a miniture radiator, and works exactly like one. Hot water from the engine flows through the heater core, and the fan draws air in and blows it across the core. Bingo! You have hot air.
The concern is that if it was disconnected it might be leaking. Did the heater work before the radiator and engine swaps? If it did then someone probably forgot to hook it back up. If it did not odds are the po disconnected it because it was leaking.
When you hook it back up, start the motor and look for any obvious leaks. When the engine is warmed up turn the heater on and look for any signs of leaks. Also, if you smell a sticky sweet smell shut her down and dissconect the core - you have a leak.
Cores are cheap, and not hard to swap. Do yourself a favor and get a Chiltons or a factory manual for your Blazer. It will make life a lot easier!