Doubt it's a gasket. Yes you would see milky
oil, fouled water, white smoke (STEAM) etc. I suspect it's air now that you've verified the stat. You need to open up a port in the manifold such as the temp sensor or perhaps a plug if you have one. This needs to be on the top of the manifold ahead of the stat. The stat will catch air even with a tiny hole since it's closed. Runing it and then let it cool off will also work the air to the top but that's an obvious pain in the a$$. Before you look at any other possibilities, you MUST make sure there's no air in the system.