It is, of course, normal for pressure to be much higher with cold oil than with warm oil and the relief valve (pressure setting) on a pump is not particularly accurate with cold, thick oil. Though I will admit that 260 is a big difference from 150...
Mechanical gauge?
Where is the pressure gauge fitting mounted on the tranny? It should be at the selector control valve (the component to which the shift lever is attached). If tranny pressure is taken from the wrong location, it will show much higher pressure. My trannies had external manual gauges installed by the PO that were plumbed to the wrong tranny fitting and pressure was far higher than that shown at the selector control valve and they could not be set anywhere close to spec by turning the adjustment screw. I seem to recall seeing pressures in the range you describe though it was some years ago. When I installed new gauges/plumbed them to the correct fitting, everything became "normal."
Per the Allison M20/20H manual, with the oil p being read at the selector valve fitting and the trannies warmed up, the pressure should be 130PSI with tranny in forward at 1800 RPM and 110 PSI in reverse at 1500RPM. If you can set the pressure to spec with the engine/tranny warmed up, ignore the the cold pressure - it will simply be wherever it's going to be with whatever weight oil is in the tranny.
FWIW, we run 40 wt oil in the tranny because the operator manual states to use the same oil as in the engine and 40 wt is what the DDs are supposed to use. However, the oil specs in the tranny manual list 30, 40, and 15W40 as suitable for the tranny. "The same oil as the engine" is a convenience issue, not an actual requirement for the tranny as long as you use one of the weights listed. There is no restriction regarding weight of oil for temp or load, other than "warm up time" for the tranny based on water temperature. 15W40 or 30 would not show the sort of cold/warm pressure differences exhibited by 40.
As far as "warm up time" - The tranny manual states that if you are running 40 wt oil, the minimum water temp you should be operating the tranny in gear without preheat is 50F. If the water temp is below 50F then the tranny is supposed to be preheated or, if preheating is not available, the engine is supposed to be run with tranny in neutral for 20 minutes before engaging it. With 30 wt or 15-40 the temp is 32F. Allison states that failing to follow this will shorten the life on the transmission. That being said, I'm not sure anyone actually pays any attention to that...
But I would just ensure that the gauge is reading from the selector control, maybe check it against another test gauge, set the pressure per the spec and forget about the cold pressure. If you can't set the pressure to spec, the pump needs new seals.
