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The role of energy exchange between a quantum system and its environment is investigated from the perspective of the Onsager conductance matrix. We consider the thermoelectric linear transport of an interacting quantum dot coupled to two terminals under the influence of an electrical potential and a thermal bias. We implement in our model the effect of coupling to electromagnetic environmental modes created by nearby electrons within the P(E) theory of dynamical Coulomb blockade. Our findings relate the lack of some symmetries among the Onsager matrix coefficients to an enhancement of the efficiency at maximum power and the occurrence of the heat rectification phenomenon.