The system should be pressurized as it warms up (on mine, as soon as it starts the hoses firm up regardless of temp FWIW). That's what the radiator cap does. I can't believe a cap would cause an issue with underheating, but do you have a spare one around you can throw on just for fun? Regardless of the cap it should still get hot, but you'd expect to see it start dumping into the overflow if radiator is full and it's getting near operating temp if the cap was not sealing.
I wouldn't use the temp gauge on the dash for precision (although they normally are pretty good), but as a guide, perhaps. It should be freewheeling after a few seconds of running. But since they normally stay "locked up" when cold for a few seconds, odd operation may just be related to the cold ambient temps? You normally see a substantial amount of liquid on the hub of the clutch if it's leaking. Service Manual says if you can't turn the fan by hand with the engine off and cold, the clutch is bad.
CTS has nothing to do with the gauge, and the thermostat is the ONLY thing that controls minimum engine temp. Just for clarification, both the Delco t-stats were 195* as well, right? I know you said 195*, but you've had three, just making sure.