If you're seeing black marks above your Aube thermostat or any other brand, it could be due to normal operating temperature, air flow and dust coming out of the wall.  However to be safe, you should get it checked by a pro to ensure the wires are properly and securely connected, haven't come loose, as well as to make sure the  wiring and thermostat are in good order.  Loose or damaged wires could lead to something more serious if not checked.

Please note that we are not Aube and have nothing to do with their business other than selling some of their products.  If you need to contact Aube for warranty or technical support, they were purchased by Honeywell Home in 2004.  Their number is 1 -877-271-8620