We need to remember that heat and temperature are two different things. They are related, but much the same way that watts and volts are related.
The pilot light in my gas furnace burns at the same temperature as the main element, but produces far less heat.
With a temperature controlled iron, we can control the temperature, either in fixed steps built into the tips, or by a some linear control. We control the thermal mass of the iron by changing the geometry of the tip. The wattage of the iron dictates how fast the soldering heat is produced.