I've never had Heavenly Blues come back as volunteers, I think because they mature so late here that the seeds might not be fully developed before they freeze. I kind of wish I did have that problem!
But I have a smaller, fuzzy pink morning glory that does reseed. It is much shorter, smaller leaves and very pretty blossoms, though I was disappointed they were smaller than they appeared in the ads. I grew some next to a border netting fence near my vegetable garden couple of years ago, and it has come back two years in a row, from self scattered seeds. I can see where it might become invasive if you don't pull the unneeded volunteers.
