Both have the same function. The difference is that the liquid sensor one reaction capacity is higher than the wax sensor one. To determine the nominal flow and the hysteresis of the heads, it is necessary to submit them to a test in the laboratory. The wax sensor value is 0,7-0,8 and the liquid one is between 0,3-0,4.

How does the was sensor work with the thermostatic heads, for example if the temperature is adjusted on position number 3? ¿Does the valve allow the water to flow until the temperature is reached and then it closes? How?

This was sensor picks up the temperature in the room in which they are installed, and depending on how it expands the valve open or close leaving the flow to pass.
The numbers meet the temperature indicated in the thermostatic head instructions . For example, in the position number 3, we’ve got 20ºC; always that the room temperature is higher the valve will be closed. Once the room temperature lows under 20ºC the heating element will allow the flow to pass to the radiator to heat the room. 
For further information about the thermostatic heads, download the Manual in the following link:
http://www.orkli.es/pub/pdf/manual%20guia%20INSTALADOR.pdf