I think the problem is that you are trying to use a thermostat that requires three connections with only two wires.
The two orange wires you refer to (from terminals 04 & 05 in your boiler) that then become red & black out to the thermostat are the contacts for the thermostat. When the two wires are connected together they complete the circuit and the central heating will operate, break the circuit and it will stop. (they should not be connected to anything else hence the requirement for potential free contacts)
You say the thermostat has a neutral terminal, but from what you say you don't have a neutral wire to connect to it. It is wrong to connect either of the two orange wires (that become the Red & Black) to the neutral terminal.
Based on that, you have two choices, either run a neutral wire to the thermostat, or take the thermostat you have just purchased back and get one that doesn't require a neutral connection. There are lots to choose from, most of the new digital ones for example.
Don't get too concerned about the voltages on the terminals as they are connected to a PCB you may get different readings depending what the other components connected to the PCB are doing.
The earth connection will not effect operation, but is there for safety. If the thermostat says that it should have an eath connection then you should connect it to the earth terminal at the boiler end, and the earth terminal at the thermostat end. However many thermostats are double insulated and so don't need an earth connection.