That's what I meant to imply by "supposed to work without one." My house was cold one December morning and I had the HVAC guy out. He apparently hates smart thermostats and told me to throw that POS away. I switched back to the old one, and the furnace worked immediately.
I've read that the PEK can cause some issues, or I'm hoping it might help me out. My problems appeared to be software related on the Ecobee, as the furnace was operating as it was supposed to. The Ecobee just wasn't calling for heat at the right times.
It's a shame, because I really liked the thermostat. The app worked well, it integrates into my home automation stuff, and look nice. The remote sensors were the main reason I bought it, and that aspect worked okay.
I think I'm the only one on the Internet who has had this issue, or at least I've never seen much out there on it.