Well, Whiterun is technically already in Imperial control when you start the game.
I was under the impression it was nuetral, since Balgruuf kept refusing aid from the Legion until it was clear that the Stormcloaks weren't gonna wait forever for Belgruuf to come around.
@Litter1, after I had done Battle for Whiterun on the imperial side on one of my character, Heimskr was no longer preaching in front of the Talos Shrine. He was in the dungeon, and he wasn't preaching anymore. Like I said, I believe it is one of the fixes implemented in the USKP.