That's a good point about thermal lag and I agree with you.A more elaborate feedback controller could be needed if there is a large thermal lag in the system, which could cause significant overshoot in the system temperature.
However I have built a few industrial incubators/ovens etc, and in a closed environment (which loses heat slowly) a setpoint controller with a fine setpoint (and no hysteresis) works just fine, keeping the temp within about 1 degree C or so at the sensor.
Large thermal lag can get you into trouble but as I said if the sensor is reasonably close to the heater element the thermal lag is small and it will cycle every few seconds with very little heat ripple (maybe 1'C heat ripple at the sensor, but fas less than 1'C heat ripple through the majority of the heated volume).