Is the WH dedicated to only heating the house, or do you also use it to heat water for household use? You should realize that most WH are not designed for this, while they may work, they are nowhere near as efficient as a boiler which is designed for constant firing.
Assuming it's a closed system, then yes, you need an expansion tank designed for a boiler, not one designed for potable water. It should be before the pump and no, it does not need or want a check valve - it must be open to the supply line. If this is potable water and not a closed system, the expansion tank, if needed at all, would be on the cold inlet to the WH. To use an open system, all pumps and other fittings must be rated for potable water. This means either a bronze or stainless steel pump along with any check valves, or whatever else may be in the system. Open systems have the big potential of polluting your water, and you must be very careful on the design when using one for heating purposes...you could have a stagnant loop, and over time, it could grow some really nasty things.