That is to be expected. After all, the "food" for the cat is carbon monoxide. Only then it can combust that with residual oxygen to carbon dioxide.
When you run the thermostat wide open, an excess of air is introduced into the firebox, which causes most of the CO to be combusted before it can reach the cat. And cat temperature is a function of CO-to-CO2-conversion in the cat, as that reaction is exotherm.
