That is standard nomenclature. The contacts "normally closed" are connected when the thermostat is not doing anything, i.e. not hot.not sure why they have labelled it as normally closed.....it is closed whilst calling for heat, exactly as shown
When heat is applied, i.e. the system is activated to produce heat until the set point is reached, then the contacts will eventually open and the heating stops.
If you called them 'normally open', and you connected those contacts to the heating, nothing would happen!
Same with a relay. "Normally closed" means the unactivated state.
I was just brought up with this convention in electronics, and don't understand the issue!