You say that you are following the GB image, but first of all, do you actually have the GB thermostat? The wiring is different for each model GA / GB / GC. The instructions are not useless everything you need to know to connect them is shown in the diagram/s.
Secondly the original thermostat shows that it is rated at 16A. I can't see the rating of the new thermostat. It might be less, if so, you will first need to check that it has sufficient rating for whatever you are connecting it to, otherwise you could overload it.
The original thermostat has a dry contact (similar to the GC model) but the wiring for the GB is different. So providing that you do have the GB model
and it is sufficiently rated for the duty
The black* neutral wire in the existing thermostat 1 goes to new stat N (3)
The blue* neutral wire in the existing thermostat 1 goes to the new stat N1 (2)
The red live wire in the existing thermostat 2 goes to the new stat L (4)
The black wire in the existing thermostat 4 NO goes to the new stat L1 (1)
No need for any link, the GB model has this made for you internally.
* This assumes that the black wire is the incoming neutral as part of the mains supply, and the blue wire is the neutral to the UFH. If it's the other way around they should be transposed.
The thermistor probe wires go to NTC (5) and (6)
Couldn't work out either if I need to put a link from the mains live to link 1 or 2.
Do not do that under any circumstances terminal 2 is a neutral.