The instructions on the Sinopé GT125-K2 Starter states, "the thermostat must be installed in series". A series meaning the "L1" (hot line in) connects to another outlet on a circuit line? What risks are assumed if the unit isn't installed on a series? Is there a best practice for a non series approach? The unit seems to work well on a dedicated line, no issues so far.
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.