They do work, just do not trust them in extreme environments, and with operating close to the nameplate ratings. Output wise derate a lot, and do not regard the mounted unit in the panel as being in any way water resistant, as it is not. but provided you use it well within the sensor operating range, keep the actual controller cool in the panel, as in not in an unventilated panel with heat generating electrics mounted under it to gently toast it, and regard the output ratings for the relays as being 4 times what they actually can handle reliably long term. Other than that they do tend to autotune themselves with reasonable accuracy, at least for heating elements with large thermal inertia.
Just be aware the particular unit you refer to has no cold junction compensation, other than an offset you program in, you might want to get a different one with cold junction compensation if you want to control things under 600c where a drift of around 30C from a cold day to a hot one will cause problems. Plenty of them though with cold junction compensation, and if your process is under 150C then forget thermocouples and go for Pt100 or Pt1000 sensors instead, the thin film elements are quite cheap, reasonably rugged and a lot more accurate over that -100C to +150C range than any thermocouple, and a lot easier to connect as well with less thermal EMF issues.