240v Cove Heater Wiring
You bring your NM wall run into a junction box installed in the wall.  Then either you continue the NM down the conduit into the heater proper (ugh, NM in conduit!) or you terminate the NM there and continue in THHN or a high-temp wire.  Wire gage stays the same transitioning amongst  NM, THHN, AC etc.  I mean, you're always allowed to bigger than required.  

I hope they provide a way to make that splice and button up the junction box without having to dangle the heater in the air while you do it. 

They are recommending steel e.g. EMT conduit from there, I would certainly use EMT, or a nipple may suffice.  Rigid is not worth fooling with, except in rare instances where the facts just work in its favor. 

You could also put the junction box past the end of the heater, come out of it with an LB elbow and into the heater, or surface mount the junction box past the end of the heater and have a short bit of conduit or nipple coming over. 

This thing has to touch the wall somewhere, part of that physical mounting may include a raceway for electrical power.