beacuse whoever put in the LAST thermostat did the SAME THING!
Near as I can tell, the t-stat slipped and didn't quite line up as it should have. The machined lip that was supposed to hold it wasn't as deep as they usually are, so when I fitted the gasket and put the cover on, it must have moved and opened up at the top.
THIS time, I gooped the gasket, put the t-stat in, put the gasket on with the goop on it, held the whole mess with a fingertip and then seated the housing. I held the housing in place and fitted the nuts.
After that, the car warmed up within 5 minutes, and stayed nice and warm. Actually got a little TOO warm, but another burping and filling and then topping off the bottle and the temp gauge stays at about 1/3 all the time.
Ah, well...that's what I get for not getting one from Mazda, I guess!