The expanding wax device usually doesn't fail on the Panda. The most commonly reported problem with the old style Panda thermostats with the pre-Euro 5 engine is that an internal rubber seal perishes and lets coolant through when the thermostat is supposed to be fully closed. If you do a classic boiling water test, the thermostat will open and close normally, leading you to the mistaken belief that there's nothing wrong with it.
The OP has a Euro5 version with the temperature sensor built into the thermostat housing (like the 500). The most common failure mode for these is that many of the OEM ones have a plastic hose connection spigot, which breaks down with age, leading to a sudden loss of coolant (and HG failure if you don't get the engine shut down pronto). Some replacement 'stats have a metal spigot; if replacing, try to get one of these if you can. Not quite so cheap just to swap on a hunch, but at least you are replacing both the thermostat and the sensor at the same time.
Not necessarily. It's quicker, easier and less likely to disturb a hose connection to syphon it out, and if you work cleanly, you can just put it back in. If you are just changing the 'stat, you only need to lower it below the level of the thermostat housing.