I've never had an issue with any ALH or BEW engine not self-purging air out of the cooling system. The ALH in my Vanagon with the Radiator and Heater Core 16 feet to the front, air is purged rather quick with no problems at all. Thus, I believe there must be something unusual going on with the OP's engine.
The T-stat should be closed with a cold engine. The closed T-stat forces all coolant circulation thru the EGR cooling system, heater core, oil cooler and the expansion tank. Coolant from all of those components returns via a black steel pipe at/near the back side of the T-stat and Water Pump. Also, that circuit of circulation is always in motion whether the T-stat is open or closed.
However, an Open T-stat with a cold engine with air in the system may take a while to purge out the air... An Open T-stat with a cold engine is a bad T-stat.