Your primary heating (1st stage) is controlled by the W terminal on your thermostat. (Or the Y and O/B terminal if you have a heat pump system)
Confirm the thermostat is set to Heat mode and the setpoint (the smaller number at the top of the thermostat display), is set to a temperature higher than the display temp (the larger number in the center of the display).
Confirm the message "Heat On" is solid (not blinking) on the thermostat display.
Confirm your wiring is correct, and the wires have good contact in the terminals (tug gently on the wires)
Check your jumper selector switch. To operate heating, the thermostat requires power to the R terminal. (If you have a wire in the RC terminal and no wire in the R terminal, move the RC wire to the R terminal and move the jumper selector switch up to the "1 Wire" position)
Using a multimeter, measure the AC voltage between your R wire and your W wire (between Rc and Y for heatpump systems). Your thermostat operates between 20-30VAC, any reading outside this range should be addressed by a Professional Contractor.