Any idea how to solve this issue?
Should I try to change my tonearm settings - to lower VTA or higher VTF?
What you're hearing is a natural consequence of cartridge construction. The cantilever pivots on a donut shaped ring of elastomer. Like all rubbery stuff it changes getting harder and softer with temperature.
VTA and VTF will change the sound a bit and maybe even in a way you like. They should always be set by ear, regardless. So yes you should explore that, always.
The answer however will be to physically warm it up with a blow drier. First thing you do after turning the system on. Hold your hand near the cartridge and hold the blow drier where its warm but not too hot. Not a lot of thermal mass in a cartridge, so this should only take a minute. Since you're hearing the effects of the cold its a slam dunk you will hear the effects of the warming.
Playing records the mechanical action of the cantilever will eventually accomplish the same thing. Only most of the tiny amount of heat generated will be lost to warming the mass of the cartridge. Once the whole thing is heated up though it should last a good long time. Do it a few times you will get the hang of it.
This is something I've thought about before. Every night, even after warming everything up a good half hour or more, still it takes about a full side to really sing. Through trial and error its been narrowed down to the cartridge. I've often wondered if its just this heating action or electrical. You've just motivated me to find out. Tonight.