I've heard [...] that if you've progressed your romance with Gale, but don't pick him at the party, his thread goes on afterwards anyway?
Nope. If you don't pick him, he just comes on to you the next night, and you're friendzoned if you then refuse. You're also friendzoned if you refuse to go beyond a kiss in his romance scene.
I'm hoping that there will be further romance triggers later in the game. After all, it's possible to skip the tiefling/goblin party entirely, and I can't see that locking you out of all the romances.