Not quite. Mine is thermocouple based and I love it.
Thermocouple based, why would they use a thermocouple in a thermostat?
To try answer the OP's question...
Hysteresis is designed into on/off controls deliberately, or your boiler would be turned on and off too frequently. Electromechanical thermostats, due to their design, have rather too much hysteresis than is desirable, so they include a heater to attempt to reduce the hysteresis. When the stat switches on, so does the little heater, the heat from that, combined with the rising room temperature, then turn the stat off. The built in heater, is why they need a neutral.
The electromechanical stats, providing they are suitably located, have the advantage of not needing batteries replacing. If the location is less than optimal, then a wireless version might be worth having. The hysteresis in a wireless stat is programmed in, though some I hear, can be adjusted.
Hysteresis so far as stats are concerned, is the slight, essential difference in temperature between the switching on and the switching off points.