Quite possibly. The "anticipator" is just a resistor that heats up and fools the thermostat to turn off sooner, how much sooner depends on the heating system. If you have cast iron radiators, for example, you want it to turn off before it reaches the set point because the radiators will keep heating because they take a long time to cool down. If you have forced air, heating is pretty much instantaneous. It heats when the blower is running and stops when the blower stops. In that case you want the thermostat to turn off when it reaches the set point, or run a little longer. But the anticipator is all just a matter of comfort. For a unit heater probably in a factory like this it doesn't matter what the anticipator is set at. Who care if it runs a minute or two longer.
As I said, the "anticipator" is a resistor near the bi-metallic temperature sensing spring. This thermostat has it under it because it looks like that's what burned. This anticipator resistor is in series with the thermostat leads so it heats up when the thermostat calls for heat. Apparently, this "universal" thermostat has settings for 24V and powerpile gas valves which are 750mv. As was said, somebody set it for 750mv and 24V was applied to it causing it to burn up.
Replace the thermostat and read the instructions.
-Hal