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This is correct. Specifically for the honeywells, they have little holes to measure air temperature usually on the top or bottom depending on model. The smart ones (like this one is) can also be manually calibrated up or down from what their internal thermostat says if there’s a known deviation (i.e. the wall is consistently putting off enough heat to throw off the stat).
Also the electronics in the thermostat might be generating juuuust enough heat to make a difference depending on where the IR thermometer is pointing