Diagnosis
That's almost certainly the fan motor or its blade. On low heat, the fan runs at a lower speed, which can make bearing noise or an imbalance more noticeable. A wire or debris might also be touching the blades.
How to Fix It
Unplug the heater. Tilt it gently and listen/feel for something loose rolling around inside. If you're comfortable, open the case (screws are under the feet and rear panel). Inspect the fan blade for cracks and make sure it's securely mounted on the motor shaft. Look for any wires that have come loose and are in the blade's path. Clean any accumulated dust off the blade, as clumped dust can cause imbalance.
If That Didn't Work
The motor's sleeve bearings are likely worn out or dry. You can try applying a tiny drop of lightweight machine oil (like sewing machine oil) to the bearing at the center of the fan motor, but often on these sealed units, the motor is not serviceable and needs to be replaced as a whole component.
Heads Up
Don't run it with a grinding noise for long. A failing bearing can seize, causing the motor to overheat and potentially damage the control board or create a burnout smell.