Well I found what the problem is. Cosworth sent me the wrong thermostat. The one I have starts opening around 140F and by 155F it's open. The picture of the BRZ thermostat doesn't match the one I have either. Mine has 2 springs and a rounded top.
It's a Mitsubishi EVO thermostat. They open at 155F
Now to put the OEM stat back in and wait for Cosworth to send me the right one from England.
[edit] I ended up parking the car until I receive the correct thermostat. It's such a pain to replace and I don't want to do it twice.