The trouble is, sotal, there are so many things wrong that it's impossible to say with any certainty what's causing your current problem. If you manage to fix it with one change, then you'll still have a raft of things to deal with.
As heatingman has said, you should make certain changes to prevent long-term problems.
As far as I can make out, the pump, when running (at a speed setting that I can't see) is pumping some hot water from the boiler flow, via the cylinder coil, into the 15mm cold feed, and probably from there down the 22mm vent that's connected to the low pressure side of the pump.
With the heating on the sum of the resistances in all the pipework might reduce, or stop, this effect.
The basis of heatingman's suggestions is that the you connect the pipework in the following sequence, going in the direction of flow:
1. Vent.
2. Closed circuit cold feed.
3. Pump.
...and these should be within 600mm of each other (which they currently are).
Any other sequence is just wrong.
I would also get rid of the dead leg with the vent on top - all this will do is collect air until the point where the pump might air lock, until you remember to open the vent, and one day it will just scale up and be useless.
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Regarding the domestic cold feed, it's difficult to believe that someone would pipe it in 15mm, instead of 22mm (or 3/4") or even 28mm (or 1"), but people do crazy things. If it isn't already at least 22mm all the way from CSS to cylinder, then you need to change it.
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Also, why-oh-why-oh-why are the two thermostats connected with structural cable instead of flex, and why are they trailing around waiting to be trodden on and/or have things dropped on them? FPS change them to flex and get them off the floor, clipped where possible.
Also, FYI, putting PTFE on the threads of compression joints merely makes them harder to do up and harder to judge the right amount of torque too apply. It contributes nothing to making a water seal.