Baseboard Heater Problems!
Judging by the diagram (Fig.2) at the bottom of the 1st page on the install instructions you've linked, you should be connecting your Black L1 to the baseboard's Black, Your Red L2 to the Baseboard's Blue, and your ground to the Baseboard's Ground screw.
This baseboard heater doesn't require a Neutral for a North-American split-phase 240V supply.
You only need Live/Neutral if you have European single-phase 240V.  

There's a slightly clearer version of the instructions here, with this diagram on page 2: