The hole is to bleed air past the t stat, sometimes the hole is in the edge of the t stat valve.

Is the thermostat plunger offset from center? If so it needs to be rotated to be inline with the bypass hole in the bottom of the housing. This t stat should have a spring loaded disc on the bottom, this is critical to blocking the bypass so the water flows through the rad.

If the t stat plunger is centered, it can go in at any rotation.