Does anyone know why that actually is? My only guess is that it would have to do with the conditions in which the actual pitot-static and altimeters were made. Maybe the cold conditions cause a loss in calibration compared to the conditions that the instruments were manufactured in?
You are more or less correct. It is simply because the instrument is calibrated to ISA conditions. Therefore the instrument begins to over-read as you go up in colder than ISA conditions.
If you imagine two 'columns of air', one cold and another warm, the colder more dense column will be shorter. Any given pressure level (except at the base of the columns) in the colder column will occur lower down than the same pressure level in the warm column. Hence any time it is colder than ISA the altimeter will over-read as you go above the datum for the pressure setting.