It sounds to me like you're leaving some wort behind in the mash tun.
You should have gotten more than 4 gallons out of first runnings. I think you have a deadspace issue. Can you take a picture of the inside of your mash tun and post it? You might find it beneficial to prop the cooler up to lean towards the bulkhead drain for 5 gallon batches. You do have like a 2 foot piece of tubing hanging off of your ball valve right? You don't just open the valve and let it trickle right?
Any wort left in the tun, especially first runnings, is an efficiency killer. I have no reason to suspect you're having conversion problems... yet. Next time try taking a gravity reading of your first runnings. That will tell you your conversion or mash efficiency.
