How does Output Cyclical Delay work in Thermostat

I am using a heating mode Thermostat with the type set to "switching". The "Output Cyclical Delay" parameter does not seem to have any affect on the operation of thermostat - changing from on -> off or off -> on seems to happen immediately at all times with no delay to prevent cycling of the heater. Could you please explain exactly what is the function of the "Output Cyclical Delay" and how I should use it.