In that pic, the pic on the left is the same as I have on my furnace. That sensor is high voltage (120V AC), so you don't want to wire your thermostat to that. The transformer on the bottom right looks like it has a high voltage side, and a low voltage (24V AC) side. You should have an instruction manual or wiring diagram in your documentation that will tell you more, but I am thinking that you will want to wire your thermostat into the low voltage side of the transformer somehow.
Does the pump on your coil run all the time, or just when the thermostat is calling for heat? Possibly, you might have to wire the coil to the transformer as well.
It could be as such: 1 - Thermostat calls for heat. 2 - Coil sends signal to pump to kick on, to heat the plenum. 3 - When plenum is up to temperature, the limit switch will kick on the blower.
Again, we need more info to be sure, but I think that might be how your setup is supposed to work.