A "normal" furnace has a 24 volt control circuit. It may be integral with the burner control or may be a seperate control transformer. The programmable thermostat has its own power supply, that being the battery. Most hard wired thermostats have a heat anticipator. It is a device that sees a rise and fall in setpoint temperatures and turns on and off the burner. It has a current setting which must match the burner control current rating or else it will "short cycle." If you have access to and know how to use a multimeter, stretch a long single wire from your burner 24 volt common to your thermostat location. Now measure the voltage at the thermostat and the common you ran back to your burner control. The thermostat is just a switching device for the "hot" wire in the control circuit. you should see a constant 24 volt here. this will prove that there isn't a switch in between the burner and the stat.