Sounds like you have two problems.
First your header tank feeding the hot water cylinder should not be running out under normal conditions. Get a bigger one or double up using a second one.
Second, the air which is entering the system (because the header tank runs empty) should be escaping naturally up the expansion pipe which should be tee'd off the HW cylinder top outlet (supply) pipe. Sounds like you don't have one, which is dangerous.
For 'open vent' read 'expansion pipe' and the answer to your question is YES.
Cledlyn, August 2008