Here is expanding on what O said above....
Regulators do have a vent hole, only way to reduce pressure in the line past the regulator is to vent. If your reg is set lower than the pressure in your gun the reg will vent that line and the gun tank since it only knows its output pressure is to high and it needs to lower it till it gets to the reg set point. You can only go higher, if you turn the reg lower it will vent the gun and line till pressure is = to reg set point. How else could it work..? How else could a external tank tethered to your gun tank with reg inline, lower the pressure in your gun connected to a tank with an even higher pressure..?
If you connect gun to tank with closed tank valve, with lower pressure in the gun than the set point of reg then open tank valve does it still vent..?
Just shoot the gun till pressure is lower than your set point psi of inline reg then connect tank & reg and you should never vent a drop....