Being the most expensive doesn't mean it wasn't the wrong kind (fail-safe) as yours most likely turned out to be. NAPA tends to carry better quality parts than Autozone does and they certainly had a non-failsafe thermostat for you. Their salesman was likely clueless and just gave you the most expensive when you asked for the best, thinking 'failsafe' sounded like the best. If I'm buying lubricants, brake cleaner, etc. Autozone is fine . But for anything critical that I need 'today' I go straight to NAPA.
Without hearing the sounds you're worried about it's impossible to know if there's a problem or not. With your temperature gauge not showing the engine is hot, especially since you have already replaced the temperature gauge sender, odds are the engine isn't being damaged by what you're hearing. Just keep checking the coolant level.
Get another paper gasket for the new thermostat, don't use RTV anywhere on the cooling system components.
The TJ's cooling system is designed to be self-burping so trapped air will eventually work its way out to the top of the radiator. Keeping it topped off with 50:50 coolant/water during the first couple days of driving gives it a chance to work all the air out.