The first image is a thermal sensor probably coming down from the spa topside control panel. Like one of these things:
http://spapartsnet.com/c_Spa-Parts-Cont ... 224_1.html
The second image is either your spa controller thermostat sensor or your spa controller high limit switch sensor. It should be attached to the stainless steel heater tube (there's a sleeve on the tube for it).
Like these:
http://spapartsnet.com/p_Thermostats_EL ... 8_0_1.html
http://spapartsnet.com/p_High-Temperatu ... 2_0_1.html
You have a choice. You can either control the temp by the thermostat on the topside control panel, or using the spa control box thermostat. Whichever one you don't use, you need to turn all the way down.
Your most likely problem with your heater is that your heater element is bad. You need to get a volt/ohm meter and test the element for power, and if it has power, then do an ohms check. I'll bet there's no continuity in it. It should read between 9-15 ohms.