My story sounds a lot like yours. I purchased an Urban a few months back as my first PCP. I absolutely loved it (and still do), but it came with a defective pressure gauge. So I contacted Gamo and they quickly mailed me a replacement gauge free of charge.
Once I got the replacement gauge, I shot the gun until there was a noticeable drop in pressure. Then I dry fired (which apparently is safe to do with a PCP) to completely empty the air cylinder. Afterwards I removed the original gauge and replaced it with the new manometer from Gamo. After hand pumping the gun back up to pressure and firing a few rounds, I was disappointed to discover the new gauge also appeared to be defective. So I figured what the hell, the gun shoots extremely well..I'll just go by the gauge on my hand pump and refill it whenever my zero begins to drift.
Well, I ended reading a post on another forum where someone mentioned his manometer was torqued too tight and after he backed it out a little, it resulted in a functioning gauge. Well sure enough, just yesterday in fact, I decided to give this a go. Shot the gun to empty, removed the gauge, tightened it just finger tight and snugged it up just a little with a wrench. Gauge has been working properly ever since.
I'm wondering if this was the case with the original gauge. Apparently, they don't have to be as tightly torqued as you would think. I filled my gun to 2900 PSI last night and it was still at the same pressure this morning.