I notice in my own P. Lineata, no matter how much she seems to eat, she always has a "flat" like appearance to me...
at least when viewed from the side. She doesn't have the fullness in the body when viewed from that angle as say my P. quadriocellata. I could be wrong but this may in fact be a characteristic trait of P. Lineata because I felt the exact same way you did when I first had her; I wondered if she was underweight.
Aside from the heat issue which was addressed, I have a few more things to add that may help you. In my experience with P. Lineata I notice that they stress easier than my other Phelsumas. My little Lined
really appreciates her privacy and the less I interfere the more she seems to flourish. ie) her colors have improved drastically since I first got her, as well as her personality and appetite in general. She used to completely line-of-sight me every time I came anywhere near her enclosure. Now she tolerates me much more, and will even stare out curiously when I am nearby. Yet still to this day, if I open the enclosure doors she hides. This could be just my own personal experience with the species but perhaps not.
The reason why I bring up this trait is because you say you were watching him feed. He may be stressed with you watching, try dumping in some feeders and watching from a distance. See if this helps.
And yes as well as daggecko asked, what else are you offering him? My female relishes in the occasional cricket but as we all know I despise the little insects. Have you tried smaller meals? Such as flightless fruit flies? The smaller Day Gecko species have small angular snouts, designed for frequent dining on smaller prey items according to nature. My little female loves these and will eat them in abundance. In my opinion it is a great way to administrate supplement as well since she seems to gobble up so many in a feeding.
As a final thought... like a lot of lizard species, extra fat is stored in the tail. This is a survivability feature. The tail thickness will obviously thin out if your Lineata is not meeting his feeding vs. energy requirements. However if he is, then is it maybe due to the fact that his feeding is so substantial he is no longer storing fat reserves? A food for thought... however judging by the food abundance in Madagascar I would have to assume the first.
But then again all this speculation comes back to daggecko's other question... WC or CB.
Hope this helps!
