If you don't use a vacuum fill, you may get air locks, normally in the heater. But you can bleed air out where the coolant pipes go through the bulkhead, by pulling the pipe off a bit to reveal a bleed hole.
Is your car over cooling? A lot of the time ths main engine stat is fine and it is the poor design of the EGR stat at fault.
Yeah, it warms up ok but as soon as its up to temp you can watch the temp gauge drop 5 deg each time it opens which seems excesive and its causing the 'auto stop/start' to operate erratically which seems to be linked to the drop in temp.
It will also prevent the engine from warming up quickly.
On my 3.0TDi it took 15+mins to warm up in the winter, and even then, if I was driving at a steady pace or down hill, or even using the heater a lot, it would hover around 70 or less degrees. After changing the EGR stat, it took about 5 mins to warm up and stuck at 90 degrees.
At over 100k miles, the main thermostat was perfectly fine, it was the EGR stat that has been redesigned as the original broke away from its housing clips and remained open.
I'm pretty sure the EGR stat is the same for 3.0 and 2.0 TDis. It is an in-line small black thermostat.
If you are DIYing, then it's only your time, so won't be too expensive. But I would change/check the EGR stat before the main rad stat.