To be strictly correct, I think you need to include the word "thermostat." A "temperature" doesn't have a setting, a "room" doesn't have a setting, a "thermostat" has a setting. "What is the thermostat set to?" "What is the thermostat set at?" (Both "at" and "to" are correct, both are used, both mean the same thing) "What is the thermostat setting?" "What is the temperature setting on the thermostat?"

What is the temperature of this room? This phrase is correct. But if you wanted to talk about a particular temperature setting you could say. The temperature in/of this room (e.g. kitchen etc) is set to 21. or What is the temperature setting of this room?

"What is the temperature set to in this room?" is how a US native would ask the question in conversation. Yes, the temperature is a number on a dial on the thermostat, as almost everyone has central heating, in the US anyway. But few people would say 'thermostat', the device would be implied.

None of the answers really focus on the issue of "which temperature" vs. "what temperature". You should use "which" when selecting from a relatively small number of discrete (individual) choices. So, if the thermostat has three settings (high, medium and lo), you could say either "which temperature setting is the thermostat set to?" or "what temperature setting is the thermostat set to?" However, if the thermostat has many degree settings on a continuous scale (say from 10 to 30 degrees Celsius) then you would be more likely to say "What temperature is the thermostat set to?" It is possible to use "which temperature" in the latter case but "what temperature" would be more natural because "which temperature" implies selecting from an identifiable set of discrete choices.

I think that you should read "What´s the temperature in your room?" Greetings!! Javier