Here is the manual for your thermostat
http://customer.honeywell.com/techlit/pdf/69-0000s/69-1717.pdf
Here is the operator manual.
http://customer.honeywell.com/techlit/pdf/69-0000s/69-1723.pdf
Try to reset the energy star settings in the above manual. (page 16)
The thermostat is allowed to have up to two degrees slide from setting.
The thermostat that is built into the thermostat might not be posting the correct temp.
Could be dead or weak batterys.
Check over all the low voltage wiring from thermostat to furnace.
You may have done all the above since you said the old thermostat did the same thing.
Now taking that into consideration that both thermostats did this you might take into consideration a install problem.
MAKE sure that the hole for the wires that come thru the wall is SEALED TIGHT.
This causes major problems because air inside the wall can be much colder than the air in the room. This will cause the thermostat to sense the in wall temperature and not the room temperature.
Now I know this thermostat is not mounted on a exterior wall? If it is move it to a interior wall.
Always make sure the batterys are installed correctly and are fresh.
You have a bit if ammo here so see if any of this helps you.