Wtfo?

Out of curiousity, did you drill the small "burp" hole in the thermostat before you installed it? Maybe it was a combo of both a released air bubble when the thermostat actually opened up. If there was an air bubble at the thermostat, it may have prevented the thermostat from opening at the desired temperature (no hot water touching it), but when it finally got hot enough, everything finally flowed correctly. Did you notice any fluid loss?