This is an Empire style wall furnace. It does not need electricity. You'll be glad for that later.
The twisty valve is designed to completely shut off gas flow if it doesn't feel heat from the pilot light. This is a safety feature designed to keep your apartment from filling with gas and exploding. You will find this kind of safety feature on many piloted gas appliances, such as water heaters.
How do you get the pilot lit in the first place? You push and hold down the red button, which tells the valve "flow pilot light gas anyway so I can get the pilot lit and the sensor warmed up." This warmup takes as long as it takes, longer obviously if it is colder.
Then you set the switch to off (w/ pilot), low or high.
I don't see any wiring to support it, it may not be in view. But typically an Empire style furnace will have a Real, Actual Thermostat somewhere on a wall. This is powered by a loop circuit: from a thermocouple near the pilot light making electric current from its heat, to the millivolt thermostat which turns on electricity (or not), to the solenoid valve which lets gas in, back to the thermocouple.