Just a minor thing, may work, may not, very subtle if it does:
For N & E you have done as I would have - from the mains, crimp (star pointed) & then fed N (& E) from there.
For L you have not done this, rather star pointed AFTER the connection @ terminal (9).
Try instead wiring as per N & E: come in from the mains, & THEN crimp to (9), (1) & (3).
OK, that may work, but I doubt it, but worth a shot - how have you wired it Sophos?
If it still does not work, then the obvious thing to consider is the actual NTC temp sensor itself. So, I reckon yours differs to that of Sophos.
Q): what termperature sensor are you using (link please)
Q): To Sophos: what termperature sensor are you using (link please) - the Maplins one isn't it?
Cheers,
Andy