If you are getting "air" every time from the bleeder and you are not losing coolant, then you may have a small leak in a head gasket. If you can get your shop to put the sniffer in the radiator or overflow tank when it is acting up, they can confirm the presence of exhaust gas.
If not, then, the only other thing I can think of is that you have something in the cooling system that is acting as a one-way valve, or a very tiny hole somewhere letting air in, but not letting coolant out. I don't think this is impossible, but I do think it is highly unlikely. It is easier to pass a gas through a small orifice than it is to pass a liquid. That is the principle used for air bleeds on hot water heating systems in homes. I just can't think of what that might be.
An air bleeder that doesn't completely close maybe?
The heater temperature control is accomplished by ducting, isn't it? If your heater temperature control affected the flow of coolant to and from the heater core, then you might suspect that as the cause of a small air leak, but I don't think coolant flow to the heater core is controlled.
Maybe one of the smarter mechanics can confirm that possibility for you.
I'm running out of ideas!