I was having a very similar problem with my road bike when I first built it. Took it to my friendly LBS guy and he identified the problem pretty much before even seeing it. I had the little nub on the cable retention assembly rotated 90 degrees and the little nub was on the wrong side and getting in the way such that it was stopping the derailleur from fully collapsing. I know you said you removed the cable, but is the cable retention assembly still connected and is that nub possibly in the way?