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I bought from the dealer. It came with a complete housing and O-ring. They didn't sell it any other way. Was only $35, which is high for just a t-stat, but seemed fair with the housing.
Is it a must though to buy the motorcraft brand like it is with filters?
Not like filters. If you trust the quality of a NAPA part, for example, there is no reason you can't use it. I guess it is a personal choice. My preference is OEM.