Your definition of mechanical is inaccurate. A mechanical gauge would have ZERO wires, and be inserted directly into the media being probed. Your coolant gauge is electrical, and needs a minimum of two wires. The wire between the sensor and the gauge is ground. The other one is 12v from the battery. The fact that it also illuminates the gauge face is incidental. 12v hits the gauge from the battery side, and passes through the sensor on the way to ground.Otherwise you'd never have a complete circuit. The sensor itself is a thermocouple, in which electrical resistance changes relative to temperature. As the temperature changes, so does the resistance to ground. Ground resistance is what subsequently varies the voltage passing through the circuit. These variations are what move the needle.
//greg//