I just emailed MSD again on a different email address and got a prompt reply from Stu (perhaps the old email address I had was no longer used).

This is his reply:
"This isn’t an issue we have experienced and we have been fitting the same one for many years and they always sit somewhere between the top and bottom of the “O”.

Some Cosworth’s did ship with a different temp gauge and that one had a different colour band if I remember correctly. Yours may be one of those.
If that’s the case it would be worth calling Ford and asking if the still sell them.

If you wish to send it back, please feel free, but pop a note in explaining why so the sales guys can log it."

After that I rang my Ford dealer and the parts guy (who is always very helpful) thought he remembered it used to be a black or green ring on the sender. Now need to find out which one it is exactly.