Thermostat Wiring (Not nest or hive).

unnamed

Hi,
I want to replace my room thermostats (old dial types) with a new digital ones.  If it's relevant, I have underfloor heating, and each room have it's own Thermostat; I also have a separate Zone controller in the hotpress for Hot Water, Underfloor heating, and upstairs heating. 
I bought one to test, but as I suspected, the wiring is different.
The current stat (Danfoss) has 3 wires, Live (brown), Neutral (blue) and On (brown).  It also has space for an Off wire, which isn't used.
The new stat, requires 4 wires Live, Neutral, and another 2 across a "Load".
My instinct was to connect the Live and Neutral as expected; the On wire to one side of the Load, and then run a short jumper from the Neutral to the other side of the "Load".
This makes sense in my head, but I thought I'd check with someone else before I set the house on fire?
Any help would be greatly appreciated, I did some google searches, but I tend to get US info for Aircons, and I could track what I needed down.
Thank you.

DGOBS

Pic of the new stats wiring diagram would be great

unnamed

Hi, there isn't much data available, hopefully this will do?

unnamed

I've also found this for a previous model ....

to me it would imply the neutral is not required on the load in my scenario.