Another reason for the holes besides letting air through: The thermostats will not open until the temperature of the water actually at the thermostat reaches the temperature for opening. If the thermostats are up in the hose, or even sitting on outlet on top of the head, the hot water in the heads is not moving up to the thermostat, because the thermostats are completely blocking the flow. The holes allow a little flow even with the thermostats closed so that the opening can react to the water temp in the head, not just the water blocked at the thermostat.
I have 170 degree thermostats in my '41 and had overheating problems, so I watch the temperature gauge like a hawk. Upon starting up the temperature gauge would go to over 200 every time, and then drop to 170. Not a real problem, except for the anxiety. So I drilled two 5/32 holes in the edge of each thermostat; now when starting the temp rises to 170 and holds there. The holes may slow warm-up by a minute, but that is also not a real problem.