Help me understand please! The bottom of a lighter gauge string is the same height off the fretboard as a larger gauge string, unless the groove in the saddle is so narrow that .005 actually makes a difference.
It sounds like the previously given advice concerning needing a setup (completely) and possibly a shim is spot on. If you do a complete setup and the E is still high, make sure your neck doesn't have a slight twist (although most necks twist onthe opposite direction if they DO twist at all); I had setup issues with a P recently and shimmed it and it played unbelievably well after.
Good luck!
He specifically said that the string doesn't fit in the saddle. So a smaller gauge at that contact point would lower it, just as if the saddle had a wider seat.