The thing is there’s actually a tiny hole in that piece where the air is coming out of, not through the threads 
Discussion
isn't this a feature, not a bug?
there isnt a pin or something moves through the center there and pulls that closed when you release the compressor?
sounds like whatever it is, is sticking.
Actually, I just realized that that hole only spews air when the pump is running, but it stops when it’s off and the air compressor works fine so all good! Thanks a bunch