Zigbee end devices (that don’t route) include sleepy end devices, that don’t listen but periodically report or poll their routing node or coordinator for messages.
Zigbee battery devices are often if not usually designed as sleepy end devices to conserve battery. Some of them don’t even ever poll (example: Sonoff buttons).
I also own Zigbee battery devices that are not sleepy; the TR water leak sensor is a notable example, it runs on two AAA and not a coin battery so I assume that is part of the reason that device can afford not to be sleepy.
For a TRV that would need to accept commands within a reasonable amount of time I would assume either sleepy with a rather quick polling interval (to the router/coordinator) or not sleepy.