ST9400 Lights Staying on. I've turned them off and on but no difference

Dwayne, Try a new battery in remote, if that does not fix, replace your remote, replacements can be found at the larger hardware stores, eg. home depot, lowes,etc.

Normally all parking lights are controlled by the light switch. First turn turn on the parking lights and second turn turns on the head lights.

Are you sure it is not your break lights staying on? if this is your break lights - look at break pedal for break light switch staying on or not adjusted correctly. Does your car battery gets drained from your break lights staying on?

bad earth the wire that goes to the car body could be lose

Honeywell product is not identified.
More information is needed to identify product. Add a comment with as much information as possible, to help expert locate correct information.

For example Honeywell makes timer controls for boiler and heat-ac units.
Honeywell also makes Aube brand wall and box timers for lights and pumps.
http://waterheatertimer.org/Aube-timers.html

Honeywell has a contact-us page:
https://honeywell.com/Pages/contact-us.aspx

If you had this problem before changing the wall control and that made no difference I would suspect the logic board which controls the light. Problem here is the board is expensive. I would probably change to an LED or fluorescent lamp or remove the bulb entirely.

http://waterheatertimer.org/Woods-timers-and-manuals.html#troubleshoot
http://waterheatertimer.org/Woods-timers-and-manuals.html#TE05W

You want to control each light with different programming?
Westek TE05 timer is single-channel timer, so different lights cannot be controlled by different programs.

You need a two-channel timer so each light can come on at different times.
http://waterheatertimer.org/GE-timers-and-manuals.html#zilla
Zilla timers are two-channel timers: yellow outlets for daytime, and blue outlets for nighttime.

the interior lamp relay is at fault
replace it soon to save the battery

you would have to study the wirring diagram etc but any gas heater control should work, you just have to know how to hook it up as the ignition etc is all incorporated in the control

Is the heater staying on all the time? Most likely cause of themostat trouble is the sensor. Try to find it and measure its resistance at different temps to verify the trouble.