I don’t own a W400 myself, and as you’ve likely noticed, technical information on this specific model—especially regarding Matter—is quite hard to find. However, looking at the technical specifications, there could be several different issues at play:
The Aqara store mentions that the W400 supports dual protocols (Zigbee and WiFi). If I understand it correctly, the device can fall back to Zigbee if the WiFi fails. Therefore, I wonder whether your W400 is currently connected to the hub via WiFi or Zigbee. Since it is not a “native” Matter-over-Thread/WiFi device that connects directly to Home Assistant, it relies on the Aqara M3 Hub acting as a “bridge” to translate its protocol into Matter. However, as far as I know, these hubs usually only bridge Zigbee sub-devices, not devices connected via WiFi. This is just a guess, but perhaps one needs to “force” a Zigbee connection for it to be exposed.
According to the official documentation, HVAC/Thermostats are generally among the supported categories for bridging. But the fact that the device does not appear as a climate entity in Home Assistant suggests that Aqara may not have implemented the specific translation for this model in the M3 Hub’s firmware yet. It is also possible that the device is being bridged as a different entity type (e.g., a simple switch) or is not “exposed” to the Matter controller at all because the specific Zigbee/WiFi clusters have not yet been mapped to the Matter Thermostat clusters.