This typically occurs just after Mysa has been installed. What you can do is make sure the wires are connected correctly. You can remove all the wires and take Mysa off the wall, then re-install the entire thing. Another solution you can do is to lower the set point temperature below the current room temperature; this should force the heaters to power off.
If possible, you should also verify that the heater load is connected to the Mysa Load wire, and does not connect to the Mysa L1 or L2 (neutral wire). The heater wire may be connected to another live wire that is continuing to give power to the heater and bypasses Mysa control.
If neither of these work, please contact a professional electrician to look at your heater or contact Mysa support.