It "converts" heat, but it doesn't "create" it, it was in the space
already!

No. Water vapor is not heat. A dehumidifier produces more watt-hours of
sensible heat than the watt-hours of electricity consumed, the difference
being the heat of vaporization of the water vapor condensed.

The sensible heat was no more "in the space" than if you had used fuel or a
battery to create heat from stored energy.

This is likely over your head, as it is a matter of thermodynamics that
takes years of study, and which very few people are qualified to
understand.