Thermostatic valve prevents sharp jumps in temperature. Essentially it has a valve that prevents the scalding hot spike when someone flushes a toilet nearby.
Some rough in kits also have scald prevention valves (5 bucks more) that let you set a max temperature, say in a kids' bath, to prevent them from accidentally turning it too hot. It's a tiny screw you can adjust easily. That way you can turn on the water heater to higher temperatures for say the master bath, while not worrying the kids will scald themselves.
I can't tell if you are buying too many things there, but here's what I bought for a recent shower redo and it seems much more reasonable:
Notice it has integrated diverter for two shower locations (fixed, handheld/rain, or both at the same time) a separate lever for temperature, and then a third for pressure. For example my wife can turn the water pressure down or off when shaving her legs, without messing with temperature at all. You can have a very gentle cool rain shower or a high pressure hot one, as the temperature and pressure are independently controlled. We experienced it in a high end hotel in Montreal and recreated it in our new shower, it's too nice not to.
If you want simpler:
This is same two levers of pressure/temperature but no diverter for multiple locations.
We did try out about two dozen shower heads and settled on a Home Depot fairly basic one as it was a good balance of pressure and surface. I can't find a link now but I have in my notes that the best experience was about 6-8 inches diameter with at least 100 nozzles. Some shower heads had about 60 nozzles and it was too sharp of a feeling and could not turn it down enough, while others at 200 were too "rainy" and could never get enough pressure.
