Had exactly the same problem and thought this seemed to make sense so I set about wiring it. I noticed that because of the way the MPV works when it is in CH only both the grey and orange wires are live. This means both positions of the cylinder stat have a live going to them and so whatever its status the com is actually live which then flips my relay and removes my hot water off. This drops the valve back towards mid position again closing the switch to orange and with a cold cylinder giving me back my HW off so just creating a loop.
After many silly ideas how to solve this I hit on the obvious, i used the n/o contacts of my second pole of the relay to switch open the wire going to the com of the cylinder stat. This means it is only closed when I have a HW on signal and it's required and blocks off the stray live.
Thought I'd post this in case anyone, like me, found this and had the same problem. Also to offer my thanks to matt for setting me on the right path.