Earlier on in the series Supernatural, Castiel implies that when angels fly to Heaven, they exist as "celestial wavelengths" (a pure energy form). But in later seasons when it became part of the plot to actually show Heaven, angels are shown walking around Heaven in human bodies. (Like Naomi, or Metatron in prison). Is there a canon explanation for this, or did they retcon it out of convenience to be able to "film" angels in Heaven?
I do not believe there is an actual explanation
With that being said angels are not like demons, angels require permission to wear a human and they can only possess certain humans once an angel acquires a vessel they are probably loath to give it up.
When we start seeing heaven on a regular basis the angels are working a lot on earth so the simplest answer would be the angels are walking around heaven in their vessels because it would be very very inconvenient if not downright impossible to enter and exit their vessels every time they need to commute.
Out of universe the FX woud probably be expensive and ultimately look kinda crappy.