I've noticed this happens on regulators that use an air through piston to operate. It's happened to a few different guns I've owned with that style of regulator.
Try to close it off again after the air is on. I think the initial spike of air coming in tends to open the regulator seat a tad. I don't know if the pressure is actually opening the threads a bit....or deforming the reg seat enough to let a bit of air through.
I also know you have to have them shut off pretty tight.......which also risks damaging the reg seat.
ETEK 3LT, with 14" Ti boomstick and cure 3 + bolt F/S
Vanguard creed eyes, membrane, bolt pin, detents, gaskets, schraders, orings and more F/s[/color]
Old school angel poppets/cup seals(LCD and A4/speed), spring detents(not sure which models) F/S