Yes, still air insulates heat better than stone. Additionally, the joint proportion in relation to the stone is extremely low. Various stones are hollow inside or have gaps.
...Am I correct in understanding that if the stone is not completely glued, the insulation value drops significantly? The stones are not properly connected... horizontally nor vertically....
This is poorly executed. Only the bed joints (horizontal) are glued. The vertical joints are joined flush without any gap (butt joints). Therefore, stones with tongue and groove are used.
It is advisable to study the manufacturer's processing guidelines.
I am puzzled that you can actually see through the vertical joints. So there is no interlocking there? But for me, it is more about the mechanical stability; the insulation is probably fine, as others have already mentioned. I would also like to have the technical documentation of the bricks handed over.