All the srevice amnuals I've ever read state that when changing coolant you should set the heaters to full on. I think it is because when the heaters are set to cold the heater matix is isolated from the rest of the coolant curcuit. So when you come to drain the collant or bleed the system you have a section of it that is isolated.
TBH air locks normally work their way out over time so I would give the car a good run with the heater on full. Then check the level in the expansion tank. If there is not drop in level try bleeding the system again.
If it isn't an airlock, it could be a problme with the thermostat. What is your coolant temperature guage doing? Does it stay bang in the centre all the time when the car has warmed up or does the needle move around? How long does the car take to warm up?