The first answer gives you insight into simultaneity. Although $t'\neq 0$ everywhere in $S'$ (except for $x'=x=0$), this is not the root of the problem. Even if you take $t'\neq 0$ the paradox arises. The real problem is that you can't find, in general, the correct transformation between $S$ and $S''$ by reference to an intermediate frame $S'$ (so you can't say that $x''=\gamma (x'-vt')$). You'll get trouble indeed:
In $S'$ (for $t=0$):
$$x'=\gamma x$$
$$t'=-\gamma \frac{vx}{c^2}$$
Now assume for $x''$ ($\gamma$ is the same as in the two transformations above because $S''$ moves relative to $S'$ with speed $v$):
$$x''=\gamma (x'-vt')$$
Filling in the expressions for $x'$ and $t'$ gives:
$$x''=\gamma(\gamma x+\gamma\frac{v^2}{c^2}x),$$
so
$$x''={\gamma}^2x(1+\frac{v^2}{c^2})=\frac{1+\frac{v^2}{c^2}}{1-\frac{v^2}{c^2}}x,$$
which, if $x''=x$, would give:
$$x={\gamma}^2x(1+\frac{v^2}{c^2})=\frac{1+\frac{v^2}{c^2}}{1-\frac{v^2}{c^2}}x,$$
which is obviously nonsense (when $v=0$ the equality holds but the problem is that you have set $v=v$). So the assumption that $x''=\gamma (x'-vt')$ (as you suggest) is just wrong. You can set $x''=\gamma x'+\gamma v t'$ though, which in combination with the inverse Lorentz transformation $x=\gamma x'+\gamma v t'$ gives you $x''=x$.
This problem can only be resolved by stating the correct (and direct) transformation (for $x$) between $S''$ and $S$:
$$x''=\gamma'(x-v't),$$
where $v'$ is the relative velocity between $S$ and $S''$ (which is not the same as the sum of the relative velocities $S-S'$ and $S'-S''$, in accordance with the addition rule of velocities $v'=\frac{v+v}{1+\frac{v^2}{c^2}}$) and $\gamma'$ the with $v'$ associated Lorentz factor. This indeed gives $x=x''$ if $S''$ doesn't move relative to $S$ and, if you set $x''=x$, you get no nonsensical result but instead, you get the sensical result that $v'=0$). You can't find this transformation in the way described above.
So, to answer your question in short, you can't set $x''=\gamma x'$ (or $x''=\gamma (x'-vt')$) in the first place. When you do so you arrive at the wrong result $x''={\gamma}^2 x$ or $x''={\gamma}^2x(1+\frac{v^2}{c^2})=\frac{1+\frac{v^2}{c^2}}{1-\frac{v^2}{c^2}}x$. So it's your fourth "bullet" that deserves attention. Only in the special case that the velocity of $S''$ is $-v$ you can write $x''=\gamma (x'-vt')=\gamma (x'+vt')$ (giving $x''=x$). If the velocity of $S''$ were $v$ you couldn't write $x''=\gamma (x'-vt')$ though. So much ado about a minus sign...(with thanks to @J.Murray).