There should be no real danger with an oxygen concentrator and pilot lights etc. in the same structure. The oxygen concentrator only extracts/filters oxygen present in the air and provides it to you in greater concentration, correspondingly reducing the oxygen in the air it exhausts back to the room. The only areas where there's any elevated oxygen levels are between the machine and you. (An oxygen cylinder may well be a different matter in terms of safety; certainly I'd have more concern with one.)
From an ignition point of view, an electric heater may not be particularly safer than a pilot light or fridge burner or furnace anyhow; the thermostatic switch is often not sealed and can spark when it opens or closes. You'd also be more likely to have the heater near you and your equipment, rather than rather more distant (for an oven pilot) or outside the living area (for the water heater, furnace, and fridge burners).