I too thought this was a requirement these days?
Usually its a wax style thermostat which is connected to the gas inlet shut off valve. This is the reason why you need to hold your hand on the gas dial for a few seconds before you release it.
Ethyl mercaptan is the stenching agent used. You can smell it in concentrations less than 1 part per million. So its a good warning device, but unless the gas was on all weekend, you are likely well below the lower explosive limit (LEL) of the gas. You need approx 2.1% propane (LPG) concentration in air to meet its LEL.

