I double checked the Heartworm Society website. Here's what they say:
"Continuous monthly administration of prophylactic doses of ivermectin, moxidectin and selamectin is effective in reducing the life span of juvenile and adult heartworms. ...
If arsenical therapy is declined, a lengthy course of prophylactic doses of aforementioned macrocyclic lactones will gradually reduce the number of adult heartworms. Should long-term macrocyclic lactone administration be considered for heartworm-positive dogs, exercise should be greatly restricted and the dog should be examined by a veterinarian at least once every four to six months until confirmed to be free of heartworms."
So you're right that they are still producing microfilariae, and can still transmit the infection to mosquito vectors. But it is an accepted method of treatment, and one I've personally seen work - we have a number of dogs that are now heartworm negative after being on long-term Heartgard. Then again, there are people on the internet that say using Black Walnut tincture is an effective preventative, so it always pays to check your info.
There's new research that combining slow-kill or fast-kill methods with doxycycline may be effective because of the Wolbachia bacteria that many of the D. immitis worms harbor. Killing the Wolbachia can effectively sterilize the female worms, and that part of the side effects from dying worms in a dog is due to the release of Wolbachia endotoxins - the aim is to treat with Doxy first to reduce the Wolbachia so that as the worms die, they aren't releasing the bacteria into the dog's system. I've read studies about this being effective in a worm called Onchocerca volvus, which is also a filarial worm that infects humans. I haven't known any vets that actually USE doxy as part of the protocol, but I'm interested to see where it goes.