In the 2010 Scott catalogs...
Lombardy and Venetia remains at the back of the Austria listings in volume 1. Heligoland remains in volume 3 between Hatay and Honduras.
I would think it unlikely that Scott would move either listings in the near future. L&V were part of the Austrian Empire when those stamps were issued; annexed by Italy afterwards. Heligoland was a British possession when those stamps were issued; ceded to Germany afterwards.
I'm not saying I agree with Scott's arrangement; but that would be the reasoning behind this arrangement (not that Scott is consistent about this!).

k