The thing to remember is that the thermostat is simply a switch. To find out where the fault lies try this:
Remember to turn off the power before making or breaking connections - potential 240V on these wires
Disconnect the thermostat and leave the 2 wires apart. Turn on the heating (making sure that the hot water is turned off). Note what happens.
Turn the power off - connect the 2 wires together (using abit of choc block or similiar) and turn it back on. Note what happens.
If the same thing happened in both states then the fault is not with the thermostat

If it did turn off and then on in both cases then you now know whether the boiler expects a normally open (NO) or a normally closed (NC) connection. Work out which connection is which on the thermostat and Bob's your auntie
Make any sense ??