On a Marley baseboard electric heater 2500 does it matter what wire connects to what wire of a dial thermostat?
I don't know what a Marley 2500 heater is but I am assuming it has a switch on it. There is a correct way. When wired correctly the switch will interrupt the hot wire, if wired backwards it will interrupt the neutral wire.

In base cases it will work, however if wired backwards then parts of the device will be hot when they are not supposed to be.

A classic example is a toaster. If wired correctly touching the elements should not shock you when the plunger is up. However if it is wired backwards the elements will be hot and if you are grounded you can get shocked.