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The thermostat cannot really feel the real temp in the room being on a wall accurately . By the time the thermostat really felt the room temp that you were asking for on the dial, it would have overheated the room.
So this little built in heater on the anticipater, anticipates the room temp as it begins to feel the heat being supplied from the heating source and gives it that little artificial heat it needs to turn off when the room reaches the temp set on the dial. This helps the thermostat prevent large temperature swings when its working.