Install in a series - Electric heating thermostats, wireless communicating, 3000W for an Manufactured home/RV
They mean the switch must always be wired in series with the load. Otherwise, If the switch were in parallel, turning it on would produce a short circuit. The short circuit would be a very bad thing which will (hopefully) trip the circuit breaker and damage the contacts of the thermostat from the large fault current.

The only thing to remember is systems with 240V heat must have double pole thermostats. The reason is here in North America (USA, Mexico, Canada), both hot leads for 240V are live with respect to ground. The thermostat must disconnect both lines when off so the heater is not live when off.