The two wire device is self powering by using the neutral at the other side of the load, through the load. Probably has a higher off state leakage current than a three wire device, which would be doubled in parallel. This self-power requirement is still very low since it not trying to do something more ambitious, like charge the buffer battery, run a small cpu, and wifi.
The original gen 1 Nest thermostats were two wire devices that would self power through the load, but they would make the Honeywell boiler control sound like a doorbell buzzer from the load coils pulling in and out.