They don't (usually) display the temperature but they definitely sense it, and react to it. When the sensed temperature is at or higher than the set temperature, the valve will be closed, if it's lower it will be opened. Mere valves can't do that.
That's what a thermostat is: A negative feedback control system regulating sensed temperature towards a setpoint, and keeping it there. They're simple, inexpensive, reliable. Yes having the temperature sensor right next to the radiator isn't ideal but unless the room is quite large that's not an issue. Also with large rooms you probably have more than one heater and thus thermostat. And you could, in principle, put the thermostat far from the heater but I've never seen that done.
I don't even know whether I understand I just hear MacOS users griping about fullscreen, and a quick google gave quite recent results. Especially with fullscreen being incompatible with other windows on top (each fullscreen window necessary is on its own workspace) which would be highly annoying in Blender. You can configure blender to have file open dialogues, render results etc. in its main window, but certain stuff like preferences always open a second one.