The pilot light goes out on my Heatstar heater when I turn it up to burner 1 setting. It pops a couple of times trying to relight then nothing.
A pilot light has a thermocouple that sits near the pilot flame, its tip impinging upon the pilot flame. A temperature differential across the thermocouple from tip to base creates a small electrical voltage 30 mv that energizes the pilot valve that you manually depress to light the pilot light, after 30 seconds or so the thermocouple begins making 30 mv which energizes an electromagnet in the gas valve that hold the pilot valve open once you stop depressing the button to light the pilot. When a thermocouple gets old or is placed to far into the pilot flame making the entire thermocouple hot with no temperature differential across the thermocouple from its tip to its base. Sometimes the pilot flame will be turned up thinking adding more heat to the thermocouple makes it stronger when it is opposite, once the entire thermocouple is hot no temperature differential exists and it stops making the 30 mv and the pilot valve will drop out. The thermocouple proves a pilot flame exists by creating 30 mv and holding the pilot valve open which allows the main burners to run safely. The thermocouple is a flame proving device if it has not been recently adjusted or installed it likely needs replacement, not as often the electromagnet in the gas valve gets weak and fails as described as well.