The clue's in the title - Value Added Tax. Warming it up explicitly for the purpose of someone eating it is "value added". Serving something straight from the oven isn't (if it had to be heated up to make it what it is anyway e.g. bread).
Whether it goes cold before you eat it is irrelevant.
And Pastygate is a misnomer anyway - most people who know about Greggs go for the sausage rolls!
A Pie, Pasty, Sausage Roll etc is made by heating the product (the pastry). Therefore the 'heating' of the product is a requirement not a serving suggestion. Indeed, Fish & Chips, Chinese, Indian, Pizza etc etc, all require heating in order to be eaten. Unless you have a some strange liking for raw potatoes, fish, meat etc.