You’re mixing up two things here. You’re thinking of a relay cutting power to the radiator as a whole. That is indeed not a good idea and may damage it long term.
@Shaad is not doing this. He is just using the Shelly to send a command to the heater through the fil pilote. Keep in mind that there are 6 commands in total. Two of them require a microcontroller to generate, as they use precise signal timing. The other 4 can be generated using relays and diodes. Two basic commands can be generated without a diode.
Without diode, only a relay needed:
0V : Mode confort
230V: Mode eco
With a diode:
Negative half wave: Mode hors gel
Positive half wave: Turns off the heater
Of course all this is still mains voltage and hacked together flying circuits of relays and diodes operating at 230V are not a good idea. If your house burns down because of it, get ready to fight your insurance in court. See Taras post above (although that guy did something really stupid that was unrelated to the diode, but still).