What you're being told is not correct. The T-stat unit was designed and UL listed to be connected to a 1-gang opening. I would say that it should not be installed inside a conduit with the floor warming cables if that is what they meant. I generally use a deep 4" square plastic nail on box with a 1-gang mud ring. I usually install the sensor wiring inside a piece of 1/2" EMT between the edge of the floor and the JB. I do that in the event the sensor goes bad it can easily be pulled up and a new one dropped down. Ask whomever told you that how they would do the install.