DIAGNOSIS The heater is running continuously because the ambient room temperature has not reached the set point on the mechanical thermostat.
FIX Understand the thermostat dial. The snowflake (✱) symbol is frost protection only (~41°F). Numbers 1-6 correspond to increasing temperature set points. For a small, drafty, or very cold room, setting 3 may not be high enough to trigger a cycle-off. Turn the dial to a lower number (e.g., 2) to see if it cycles off.
IF THAT DIDN'T WORK The bimetal thermostat mechanism may be faulty. Test by setting the dial to 1 in a warm room. If it still doesn't cycle off, the thermostat unit requires replacement.
HEADS UP This is a convection heater. Allow 30+ minutes for the room to stabilize at the new temperature after adjusting the dial.