Mysa is able to turn the heater to off because the thermostat does not use power stealing or any battery technology as a way of powering the thermostat. When thermostats do use one of these two methods, they rely on turning on the heater to power the thermostat or recharge the battery. Basically, their relay will close the circuit which will then provide power to the thermostat.
In case you are wondering, Mysa is powered through a separate circuit for which we require the extra (white) wire.
Please note that even though Mysa can turn off the heater completely, the wires to the heater will still be live, but no heat will be generated from the heater.