I suffered similar problems when I went from an old, very inefficient furnace to a very high efficiency model. The two furnaces worked very differently.
The old one had a burner that looked like the rocket nozzle on the Space Shuttle, only upside-down, and it had a huge fan. The burner was huge, because to work, it was blasting most of its heat up the chimney.
The new furnace had a two-stage burner and a variable-speed motor. This meant that only enough heat was generated to warm the air to the desired temperature.
The old furnace, with its big fan, blasted very hot air up the ducts and into the room below my inefficient, leaky windows. The new furnace gently wafted mildly warm air into the room.
The result was, that while the thermostat said the room was warm, the flow of hot air was not countering the radiant heat loss and drafts from the windows, which are usually far away from the thermostat.
In rooms without cold-air returns (the bedrooms), the problem was worse because the airflow from the registers could no longer blast hot air into the room in spite of the lack of returns. It's like blowing air into a paper bag. Once it is full (of cold air) you can't put any more in. (warm air).
We got in the practice of leaving doors open, which helped a bit. The big improvement came when we put some work into making the house more efficient with new thermal windows, added insulation and lots and lots of caulking. This meant that the temperature was even in all parts of the house, so when the thermostat said it was warm, it actually felt warm.
High efficiency furnaces are not designed to heat leaky houses. Cut the heat loss and you should feel more comfortable.
Keep in mind that tightening the building envelope makes it even more important to have a combustion air source for the furnace, which is what the outside air vent is for. The available outside air helps prevent carbon monoxide backdrafting into the house.