As you mentioned there are three thermal zones available to read on Edison, they are thermal_zone1, thermal_zone3 and thermal_zone4. Indeed these measurements are in °C but the output is given in m°C, so, as you also mentioned, they must be divided by 1000.
Currently there is no official documentation regarding Edison's thermal zones but if you would like know how Edison gets these values, you can check intel_soc_thermal.c. This file can be found in the source files of Edison's image as stated in CPU temperatures.
The thermal zones 1, 2 and 3 corresponds to Edison's MCU (Quark) and both Atom's cores respectively.