I'll deal with each aspect in turn.
There are a few options here. Firstly if the sophonts live in an active tectonic area they could use a hydrothermal vent. They would have to find , or create, a chimney type vent or the heat wouldn't be concentrated enough but they could then transport the heat around by piping the hot liquid from the vent in heavily insulated pipes to where it is needed. Think of it as a really hot version of a modern central heating system. Pros - Renewable. Once set up requires minimal input. Could possibly filter metal sulphide particles from the liquid which might be useful. Cons - Geographically limited. Hard to set up originally. Potentially difficult to maintain. Can contain toxic chemicals. Can't control the heat level, it is always on.
Secondly They could use chemical reactions. For example they could use a group one metal reaction with water which creates, depending on the metal, something ranging from a fizzing lump of metal, Lithium (Li), to an explosion similar in strength to a depth charge, Francium(Fr). Please do try this at home. Small amounts of Potassium(K) added carefully to water should create a burst of heat, or possibly just an explosion. Placing the potassium in a sealed container will help prevent it floating away, moving around too much and will reduce the risks presented by the production of potassium hydroxide and hydrogen. Alternatively, petrol, gunpowder and some metal oxides and metals still burn underwater although they usually burn in a fairly uncontrolled way and often explode. Pros - Can be done anywhere. Many create metals or hydrogen as a by-product which could be useful. Cons - Requires raw materials such as oil or iron oxide which are quite hard to mine. Potassium is difficult and dangerous to store underwater, if it gets wet it will explode. Hard to control the reaction, once it has started you can't really stop it.
I think the best option is probably bacteria. Most bacteria produce heat when they respire and this can create a decent warming effect. Try touching a well established compost heap, it will feel warm. I don't think that they will be able to produce enough heat for cooking but they could certainly keep a house warm if you lined the walls with bacteria. Pros - Portable. Quick to manufacture more. Once a colony has started it will keep growing. If you live near the surface the bacteria can photosynthesise so will require no feeding. Will oxidise the room. May help suppress pathogens. May be able to be harvested for food. Some bacteria produce light as well as heat so that solves two problems in one. Cons If you live in the deep ocean they will need a supply of minerals. Limited heat output. Can't be turned off.
Some bacteria produce light. See heat for more details. Further to this, many fish and jellyfish, particularly deep sea ones, also produce light so could be used. For instance, a group of bioluminescent fish could be trapped in a glass bowl topped with netting and used as a light source. Pros - Portable. Gives you a family pet. Cons - Need feeding. Might try and escape.
Reaction with oxygen
Many reactions still work underwater, for example thermite reactions will still work to oxidise things. Magnesium will oxidise in water as will some other, similar metals. I think displacement reactions should still work so many things can still be oxidised underwater using fairly unreactive metals oxides.Overall although the simplest reaction has gone (burning) almost everything can still react with oxygen using other, slower or more difficult reactions.