I'm surprised to hear there would be a limit on the wattage
suppported by a thermostat. After all, all it does it turn
on power to a relay.

There are two kinds of thermostats.

"Low Voltage", the most common type that typically run on 24vac and use a
relay to control the actual heater.

and

"Line Voltage", these connect between the electrical source (120V or 240V)
and the heater.

We have line voltage digital thermostats in our house, and the contacts are
limited to 22 amps.

I used 12/2 wire which can support 20 amps, but it has to be "derated" with
electrical heat. So, I kept my total load on each thermostat under 3840
watts (16 amps).

I could have used 10/2 wire to control more wattage with the thermostat,
but I prefer not to max out the circuit or thermostat, and I didn't need to
anyway. We have individual heaters in each room with separate thermostats,
on their own circuits. Most are 2250 watts or less, except for our
kitchen/dining area where I have 3750 watts.

Anthony