What is the meaning of heresy, and how do both henry jekyll and robert louis stevenson exhibit it?

Heresy is a belief or opinion contrary to orthodox doctrine.
Henry Kekyll wasn't so much heretic as his views that were radical, but his behavior. Instead of having a coherent philosophy of his own, he was self-centered to the extent of wishing ill on anybody who was not pandering to him. 
Robert Louis Stevenson was very much the complete opposite of Henry Jekyll. There is a strong sense of morality infusing Stevenson's stories. But even among this, I would still call Stevenson a moralist rather than a heretic. I hope this helped.