They don't have thermostats but the humans using them will end up using them for longer as they will take longer to get the job done (be it get hair dry or heat up a room).
Also most hairdriers have multiple heat settings, so you can use your hairdrier at reduced power whenever you like with a flick of a switch rather than changing the whole line voltage.
Tho that being said most cheap vacuum cleaners are horrendously inefficient, mostly thanks to them being traditionally advertised in watts. So what the manufacturer ends up doing is specifying a inefficient loose tolerance impeller (wider tolerance = cheaper to make) that overloads the motor into pulling as much power as possible while also using as thin of a wire as possible on the windings to burn some more watts, then use the immense amount of airflow that a vaccum cleaner produces to blow across the motor and get the heat out so that it doesn't overheat, hence the air blowing out of a vaccum cleaner is really hot, most of that looses. So over here they introduced a law that limits consumer vacuum cleaners to 900W to stop the watts pissing contest (especially here where you can pull 3kW from a normal wall outlet).