New wired wall thermostat doesn’t turn off

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Ok so I think I might be losing my marbles?

Have replaced a wall thermostat which died with a new one. All I did was remove the old one from the system and slot the new on in place and sync it up. However it seems unable to send an off signal? I’ve tested a few times and tried swapping a different one into the same room and that works fine. Should I have done anything else? Seems unlikely To be broken out of the box?