Just had these exact symptoms on a buddy's diesel Jetta -- it, too, was the radiator cap. The o-ring was missing. A new cap (and o-ring) fixed the matter completely. Maybe you just happened to get three bad caps!?!?

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1992 300D 2.5T
1980 Euro 300D (sadly, sold)
1998 Jetta TDI, 132K "Rudy"
1974 Triumph TR6
1999 Saab 9-5 wagon (wife's)