Diagnosis
The heater is running continuously because the ambient room temperature has not reached the set point on the mechanical thermostat.
How to Fix It
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.