What do the numbers 1 to 9 mean on my thermostat?
It means it is a cheap device and they are not willing to provide a properly calibrated thermostat at that price point. 

Instead they are giving you a real thermostat, but with no effort to calibrate it to any real world values, just slap a knob on it and done.  You are meant to turn it up if you are too cold and down if you're too hot, iteratively, until you find the temperature that suits you.  Then you are to remember that you like it at 3-1/2.

Since the knob is just slapped on, expect two identical units to have different meanings of, say, "5" .