Unless you've gotten the nest, no they're not. First question, are they the long waisted Paper Wasps or Yellow Jackets? Second, was the hole they were coming out of under the sheet metal trim collar that surrounds the vent and joins to the wall or out of the vent itself?
If it was the vent itself, these usually are a concentric system where there's air insulation/intake and a center hot air pipe. Paper Wasps like building in these and their nests are fairly small, open affairs, though I've seen them build as large as about 5 inches. If the nest was in the hot exhaust pipe, it's burnt away and your problems are over. If it's in the outer ring for the air insulation and intake, what was against the hot air exhaust is burnt, but the rest of the nest might be there in the cooler parts and the wasps alive and kicking. I'd be careful with the wasp spray, don't use it while the heating is running, but if the cap will come off, check to see if anything's visible in either of the vent portions, see if you can use a stick or piece of bent welding rod to snag it out.
Now if they were coming off from under the trim piece around the vent and they're Yellow Jackets, you might have a nest in the wall. That is a war of attrition as @Kenny kind of points out. They will overwinter till spring and it might take professional help to eliminate that. The usual method is to leave the holes open and spray till nothing living emerges. In winter time they hibernate so that plan kind of gets scuttled till spring. Once they're gone, then completely seal up all voids between the trim and the wall with silicone caulk.
