Does it have a built in thermostat?

The only thermostat is the one on the water heater itself. What you see on it in the picture is a 24 hour timer so you can have it cut off during non-use hours, like when you are gone to work or asleep.

The comfort valve has a thermostat to control the circulation.

The pump does not have a thermostat. The pump has a built in timer to allow you the ability to automatically turn the pump off at times when everyone is sleeping (midnight to 5 am) or nobody is home (10 am to 5 pm). The valve that mounts under the sink is thermostatically controlled, only allowing the circulation of water until water at the valve reaches the preset temperature, i.e. until the water is hot.