So far, multi-objective NK landscapes have been investigated under the assumption of a homogeneous nature of the involved objectives in terms of difficulty. However, we argue that problems with heterogeneous objectives, e.g., in terms of multi-modality, can be challenging for multi-objective evolutionary algorithms, and deserve further considerations. In this paper, we propose a model of multi-objective NK landscapes, where each objective has a different degree of variable interactions (K), as a benchmark to investigate heterogeneous multi-objective optimization problems. We show that the use of a rank-annotated neighborhood network with labeled local optimal solutions, together with landscape metrics extracted from the heterogeneous objectives, thoroughly characterize bi-objective NK landscapes with a different level of heterogeneity among the objectives.