Tony,  
   I have also wondered about this too.  I tend not to wear my HRM during weight lifitng.  I did find on one web site that - 
 
 "the lag time in heart rate response to a change in exertion - 15 to 30 sec lag with 2 to 3 min to stabilize at the new level of exertion." 
 
   Unless you are using circuit training during weight lifting where you are keeping your heart rate up all the time I think you may get a false reading.  Too high or too low, I don't know. 
 
   I am going to say that most weight lifting is an anaerobic exercise and you are buring glycogen and not fat.  I don't know if that is recorded well by HRM's.   
 
          This is my logic and I could be wrong, but noticed no one else attempted an answer. 
 
    Anyone else with more knowledge/experience care to  comment? 
 
 
 
Terry