Conflicting advice here.
I think most jurisdictions would consider a mudroom, carved from a garage space, and tied in with the house's HVAC to be considered part of the house and that it needs to be separated, from a fire perspective, from the garage.
I would build it as an addition to the house anyway.
I have considered doing this at my house. I'm not going to because I want the shop, er, ah, garage space. In my case I would only be adding 6 feet to an existing mud/laundry room and would utilize existing HVAC in that space.