Thermaly conductive glue is prefered since it will assure propper thermal contact and less temperature difference between case and thermocuple. In addition, transient response will be faster, with supperglue (assuming has poor thermal conductivity) you may have small time delay.
With superglue you may have a lightly lower temperature reading, probably less than 1 ºC...
My main concern with super glue would be peeling it off and breaking the thermocouples!