Does the Earth receive any heat at all from the millions of other Stars in our Galaxy ?
Effectively, no. Stars are too few and far between.
Qualifying that "effectively, no": From http://stjarnhimlen.se/comp/radfaq.html#10, the stellar magnitude from total starlight is -5. Compare that to the -26.7 magnitude of the Sun as viewed from the Earth. That difference of 21.7 means that starlight is responsible for one part in 1022 of the heating of the Earth. Another way to express one part in 1022 is "effectively none".
Another way to look at it: The Earth would eventually cool to 2.7 kelvins if the Sun and stars magically turned off. If it was only the Sun magically turned off, the Earth would cool to 3 kelvins. Compare that to the nice balmy 287 kelvins we experience thanks to the Sun.
Is it light that is bringing the heat and perhaps it cools down on the long journey in Space getting to the Earth and that's why no significant amount of heat is getting here ?
The stars in our galaxy are extremely close to us in a cosmological sense. Even the Andromeda galaxy is extremely close. The light we see from stars in our galaxy is more or less the same as emitted.
Over very, very long distances (much, much longer than the distance to Andromeda), the cosmological expansion of space means that light is redshifted. How much light is redshifted offers a clue as to the distance to some remote object.
We do receive a minuscule amount of energy from the cosmic microwave background. That radiation was not emitted by stars. It marked the transition from the very early hot and opaque universe to a cooler and transparent universe. The universe transitioned from opaque to transparent when the temperature dropped below 3000 K or so. Now that the light has an effective temperature of only 2.725 K.