Ok, you're right. You shouldn't need any (or much). Sometimes thread sealer will interfere with the ground. So that rules that out.
An air pocket will keep the sensor from being able to reach the coolant and therefore not read the temp of the coolant. Yes, usually they will cause the engine to overheat, but not always. But if it's been doing it for a long time then I doubt that's it either. More likely you're right and it's something under the dash. (Could also be a bad sensor if you haven't tested or replaced it already. I may have missed that.)