Another analogy: there are various "levels" of blood sugar. You can have low sugar and feel hungry, you can have lower sugar and start seeing other symptoms (e.g., dizziness, flashing lights, sweating, etc.) that become more numerous and severe with time, you can have sugar low enough that you actually pass out... or you can even have sugar so low that you go into a coma.

With iron deficiency: you can have iron deficiency with a couple symptoms, eventually with lots of symptoms, eventually then with anemia, and — if the anemia advances far enough — eventually also with heart damage.

The heart stuff, btw, comes from the fact that the body that's low on iron has to work the heart harder in order to circulate adequate oxygen to all the tissues.