Would somebody please explain...

Then only air your rifle to 3500, the beginning of its "sweet spot". PCP'S are weird this way. I've learned to not fill to each of my gun's max fill pressure because the first few shots won't have the accuracy I know they're capable of. Just another of the strange quirks of our airguns. Did you ever try comparing one of your "damaged" pellets against a good pellet (from your previous post)? Just curious about results.
 
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Quite likely your regulator and associated o-rings cannot hold back more than about 240 bar or so without leaking. There have been several threads in the past noticing a general trend not to fill beyond 225 or 230 bar even though a reservoir may be rated for 300 bar fills.

4100/14.7 = 279 bar
3500/14.7 = 239 bar

It may take a while before problems start showing up as standard o-rings start taking a set under pressure and becoming permanently deformed, losing their sealing ability. How well they are lubricated makes a difference too, good lubrication can help keep them sealed a little longer.
 
In that case it suggests something to do with the reservoir’s expansion, upsetting what is otherwise a favorable harmonic condition at lower pressures. Could be how the tube couples to the shroud, for example. Hard to say without designing an experiment around it.

It would still be a good idea to follow hawkeye’s recommendation to chronograph a full string to rule out a velocity-related influence.
 
I have an .22 Air Venturi Avenger. I have the REG set at 1750. After I top the rifle off to 4100 or so my groupings, at 21 yards, are crazy loose. However, as the rifle pressure decreases to 3500 or so my groups tighten up.

How is this possible with the REG set at 1750?

Ponz
You might check out this recent video where James explains what is happening