I'm not sure how the heater controls work on the NCV3 Sprinters (2007 and later) .... but on the '06 and earlier units the heater controls are digital/electronic ..... and are not hard-wired analog (meaning a cable-operated heater control valve, that allows so much of a percentage of heated coolant to pass to the heater core)
The '06 and earlier heater controls use a sensor (located behind that little vent looking thing between the air routing control (center dial) and the A/C/Heater Booster/REST switch (right dial) to sense the internal cabin ambient temp. You might check this vent and make sure it's not all fuzzed up with lint or crud.
The various points on the temperature switch (left dial) correspond to actual, specific temperatures (sorry, don't have the list to hand) ... so setting the dial to it's mid point between hot and cold (the 3 o'clock position) might correspond to say 75°F (as an example only) Any setting above the lowest/coldest (6 o'clock) is requesting some heating.
So if the heater control unit "sees" that the ambient cabin temperature is 72°F .... and you have it set to the point on the dial that is 75°F ...... it will then "pulse" a shot of hot coolant to the heater core to raise the temp.
Like I said, this is different than a typical heater control valve that can be set to a percentage open/closed to control the internal temp .... while it will work very well over time to closely regulate the cabin temp to the desired setting (if you don't constantly monkey with it), it will "pulse" heated coolant to the heater core .... which sometimes results in folks wanting to adjust it unnecessarily.
If the unit is still providing heat when you have the temperature control switch set all the way to cold (6 o'clock position) then it might be: 1. the sensor (behind the vent mentioned above), 2. defective control valve, or 3. a defective heater control unit (the unit with the three switches/dials, located in the dash)