Thoughts on thermostat on steam boiler

Brian in Indy

Friends - engineer/homeowner, am learning a lot about the steam heat in our old home we're restoring. I won't bother you with all my questions until I read Dan's book ( just ordered ) but one question has been bothering me:

We have a relatively new Weil-McLain LGB gas boiler. I've had a couple of mechanical contractors come out to apprise the system and make recommendations (neglect and bonehead repairs being slowly undone - like traps with cages removed - can you believe that!). One or two has told me it is better to run my boiler without a thermostat - to let it run on pressure (which it really does anyway, right?) - and the Universal Control I have on the LGB shows the 24VAC wired that way (e.g. it shows power to 24 and 24GND, does not show the TH-W input like on it now).

What is the consensus for this? I am thinking the route I want to move towards is radiator thermostatic valves anyway...

THANKS

Brian