I am installing a baseboard heater on a 240v 20amp circuit. I have a Honeywell Cadet thermostate. Sounded simple enough to hook up until I discovered the thermo. Has no place to connect the ground. I called the helpline and a person who did not speak english very well said that I don't need the ground and I should just tape it off. Does this make sense or should I tie the ground coming out of the panel to the ground on the baseboard heater?

Connect the ground from the panel to the ground from the heater. It just won't be passing through the thermostat which is exactly as required.