edit: delete "I would agree that something is loose." While it is possible, I don't think you would have returned to the proper setting on the third pass.
Since you were able to successfully cut the thread by leaving the half nuts engaged, I would conclude that the problem isn't in the gear train. That leaves the thread dial indicator. Possibilities include having a misaligned dial, the thread dial gear not fully engaged with the lead screw, or a loose thread dial gear. Your 4-1/2 tpi is a .222" pitch. Being off by one thread on the lead screw would shift the cut by .125" which is close to a half thread.
I had a problem with my Grizzly G0602 where the thread dial was not concentric with the thread dial axle and in some positions, it would the half nits would engage slightly off the mark. This would result in a similar situation as yours. I made a new thread dial which solved the problem.