What I haven't read in any of your posts is a general comfort complaint, only a thermostat that is responding to the thermal lag of the wall when the thermostat setpoint is set up or down during setback operations. If the discrepancy bugs you that much, consider getting a cheap digital thermometer and suspending it from a string above the thermostat, so it will read the air temperature surrounding the thermostat, and not the wall. j/k
What may not be stated, but perhaps implied in your OP, since you mention the age and insulation status of the house, is a growing frustration with the costs to heat and cool this house. Maybe not. However, we're never going to have an energy source that's "too cheap to meter" so it only makes sense to look for ways to make the house easier to heat and cool, resulting in more denero in the wallet-o.