The Bloke On Who Wants To Be A...
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For more on marking an answer as the "Best Answer", please visit our FAQ.It's not usually because it's the highest. Often it's the first in the circuit, and any bubbles will get to it first.
How do the bubbles get into the pipes? If the plumber did his job properly, it oughtn't to happen. In practice, the layout of the pipes is such that there is negative pressure at the point where the vent-pipe goes up to the header tank. This is the only pipe open to the air.
I f there is negative pressure at this point, it can suck air down the pipe, dribbling air into the system. That air will all end up in the first radiator.
The only sure way to stop this happening is to change the layout of the pipes. However, often the circulation pump has three possible settings. If turned up high, it will pull more air through. The heating system may need this speed to work -- but often the first or second speed will do fine.
So try turning the pump down to number one (if it has several settings) and see if it can still run all the radiators. If not, turn it up to two and try. You may be lucky and find that reduces the air problem.
Incidentally, you'll usually find that there is one radiator without a thermostat valve, or even without adjustable valves at all. This may be a bathroom or hall rad. It's important not to shut this rad off, as there must always be some flow when the pump is running.