Puddle is right,
All a room stat is, is an on/off switch activated by air temperature. So its logical to put it in the power supply line from the programmer which is also an on/off switch but activated by a clock.
And to get a heating system going you have to activate two or three things i.e. motorised valves if it has any, pump and boiler.
They have to be done in sequence of course, its pointless turning on the boiler by itself, it would just get hot and shut down.
You have to have the pump working to keep the boiler cool. And the water has got to circulate, so you have got to have the motorised valve open for the water to go out on the circuit.
So the programmer tells the room stat "Turn on or off" and the room stat tells the pump, motorised valve and boiler "Turn on or off, its hot or cold in here"
Sorry about the childish way I wrote this, its part of the way I try to think about things.
Please don't take offence.