If I am understanding what you have, the wires above (l1,l2, l3) are the power feeds. The wires labeled "Load" go to one side of each heating element. The wires labeled 120 (blu? - can't tell) are the wires coming from the no on your old t-stat. The wires labeled "neutral" are (white? can't tell) commons going to a buss or tied in somehow with the neutral - not going to old t-stat.
Is this correct?
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