You are exactly right. Someone on TDR experimented with this a few years back and found that switches with screw terminals and plated screws turn into mini-thermocouples when you add the wire and skew the readings. He found that crimp connectors did much the same.
The only thing that gave readings that were the same as pre-switch were to use a switch with solder on lugs.

Wire length seems to make very little difference in readings. When I talked to Autometer about running the wire 30' on a pusher motor home they said no problem, the gauge would probably be off by 10° max. It worked just fine

 

if you look on a snowmobile supply site you can get pyro gages with two leads and split faces, i was thinking of going that rout on mine, but then just went with one. i would think this set-up would be easier and cheaper and you can watch both without the switch.

 

I did this a while back. I swiched boost gauges and brands to a higher PSI gauge and swapped my EGT gauge to match. I decided not to buy two thermocouples this time around. The readings between the switched gauge and new gauge are within 50 degrees of eachother. This may be more of a variance in brands than having anything to do with the switch. FWIW - My switch and leads were soldered.