I actually think Benny has a point to be honest. Common theory is that power is all that matters and it certainly seems to be the most important factor by some margin. However, I find it hard to believe (and I don't think I've seen any studies that conclude things one way or the other about this) that outputting the same power at a different HR does not lead to different calorie burn. Now, that could simply be because, as oli said, the difference in HR is simply an indication of a difference in efficiency. Or it could be that on a particular day you're ill, so your HR is elevated and you're burning more calories. Or even that your peddling style/positioning is engaging different muscles and so you're putting a different strain on your system.
I think the question really is how much of a difference does any of the above make. I'd guess (but again, I've not seen any evidenced studies) that the difference is small enough that it almost doesn't matter when compared to variance caused by PM inaccuracies, unknown efficiency of energy expenditure, etc. Could be wrong though.
edit: Also interesting point about effect on the body and recovery instead of kcal burn of the activity itself.