The wattage settings are there so you can make use of low amperage hookups, 500W for 6A, 1000W for 10A and 2000W for 16A hookups, their not there to adjust the temperature of the van.
The fire is thermostatcally controlled, therefore the wattage used will simply mean the fire is heating for shorter or longer periods. Example, the fires control is designed to switch on if the temperature drops 2 degrees below that set on the dial, if the fire on 500w takes 6 minutes to raise the vans temperature 2degs, it will take 3 minutes at 1000w and half again at 2000W. Total electric used remains the same.
(it's not quite like that I know but essentially it's near enough)
Where the problem arises then is if the temperature control is not working correctly, this as Roger says is often due to the heat from the fire directly effecting the sensor itself. This means the fire brings the temperature sensor up to that set on the dial and the fire switches off, you and the vans are still cold but the sensors toasty and takes forever to cool before switching the fire back on!!
Due to this and particularly over night, it's become something of an urban myth to set it at 500w and this or that number on the dial and fan speed setting, in truth what's happening is the fires not capable of reaching temperature so never switches off, it's a work around but not how it should work.
Other problems concern the control board, the elements are switched on and off by relays and the contacts burn out particularly the 2kw relay.
The 12v for control also comes from this board and the transformer sometimes packs up for no reason but possibly simply because of a mains voltage spike.
Lastly if no heat is forth coming then there are two overtemp thermostats and again one at least has a habit of self destructing!
The control switch itself seems generally reliable but the odd one does fail.
The numbers on the dial represent roughly 4degs and 9 is 32degs or thereabouts, this in theory makes 6 or 7 'normal' but it's what feels comfortable that matters not the number.
Another problem not caused by the heater itself is long runs of uninsulated blown air pipe running outside under the floor. Insulating this will improve matters considerable.
Everything installed and working as it should, there is no good reason why the electric heating should not work very well and keep an even temperature to suit your needs.
However, it must be remembered the van needs to be warmed through throughly before the heating is turned down, while the vans cold it will constantly drag heat from the air and this needs constant topping up or the van will always feel draughty. It's most useful then to use gas as well for the first couple of hours and if the heatings off during the day to turn it back on at the first sign of a chill.