I had a zoomed heat pad short out and catch fire a few weeks ago. I wouldn't say it's rare. You can google it and its happened to tons of people. A thermostat wouldn't be able to do anything in that situation.
If the probe is on the UTH itself it should as it will cut power before it gets that hot. It isn't 100% failsafe but most of the time a thermostat should catch things like that.