Ally McCoist's team moved to the top of the table with Friday's 4-0 win over Raith Rovers, but unbeaten Hearts will regain the lead with a point at Dumbarton.
McGregor is quoted as saying by Sky Sports News: "Hearts have had the best start to the season they could possibly have imagined. They are a young squad but Robbie Neilson has got them playing well.
"It will be interesting to see when the shoe is on the other foot and they are chasing us for a change.
"I'd be surprised if they went the whole season unbeaten, so it will be interesting when they get a defeat to see how they react to that."
Rangers and Hearts faced off back in August, the Edinburgh outfit winning 2-1.