Why do astronauts wear heels?

That only looks like a heel! As shown here, it's a "foot restraint interface"!

That said, it probably makes walking around in the training facilities a lot easier. Although that doesn't happen much - the EMUs are heavy.

Source: JSC-19450 Rev. B Extravehicular Mobility Unit Systems Training Workbook

This picture of a Manipulator Foot Restraint - it was grappled by the shuttle robot arm and used to move crewpersons around - shows the interface with the boot. You can see where the heels fit.

Source: Smithsonian Air & Space museum

And here's a crewperson in the restraint.

Source

Finally, here's the Portable Foot Restraint attached to the space station robot arm. You can see it has the same interface to the boot.

Source