When the pin is right down, the valve is closed. If it is stck down, the radiator will be off. When removing or replacing the head, always turn it to the highest position (e.g. "5") as that relieves pressure and allows you to position the head more easily.
My preferred method is to brush the pin and surround clean, then put a drop of WD40 on top of the pin (spray it into a jamjar, and collect the drop on the point of a pencil) so it will run down.
Then hold a soupspoon in the palm of your hand, and press it on the pin to move it down and let it spring up. The shape of the spoon means the pin will go to the centre and remain upright. If you bend it sideways it may be damaged.
Once you have moved the pin up and down, some dort may come up, mixed with the lube. Wipe it off with a tissue to prevent it running back.
Water will not come off when you just remove the thermostatic head.
There is no need to screw the heads tight down in summer. That's what causes them to jam. If the knob is set to a typical comfortable setting, it will move up and down as the weather changes, and retain free movement.
If the central heating thermostat is turned down, or the timer/programmer is set to off, the radiators will not get hot. Unless you have a different fault, which needs fixing.