The main danger is that the heat from the furnace exhaust will cause problems in the winter. Rhododendrons like to cool off and stay cool and not be thawed out everytime the furnace kicks on. I would stay well away.

It is possible to prune them to stay small but not practical. You will get tired of it very quickly. There are some great smaller ones. I would recommend looking at the PJM series of small leaved rhododendrons and also the Northern-Lights series of deciduous azaleas. They are both extremely hardy and deciduous azaleas are available in a wide variety of colors.

The most important thing is to mulch them. It will help them in hot or cold weather and in dry weather. PJM's and Northern-Lights are very hardy and don't need much help. It is always best to try to avoid winter sun and wind. That is their main enemy. When the roots freeze, winter sun and wind tend to dessicate rhododendrons. Deciduous azaleas aren't bothered nearly as much.

Here is a link that might be useful: How to grow rhododendrons and azaleas.