New nemesis leaking. Advice?

I just got my new nemesis co2 gun. When I put the co2 in and screw it tight. Air would leak out the barrel. I thought it be kinda like pcp when the valve stick open. So I cock the bolt back and dry fire to close it. I did many times but still leaking from the barrel. Did I get a bad gun? Dang hate to have to return it. Anyway I can fix it? Also this small hole on the side. What is it? Manual does not tell anything about it. But I notice when I fire, air comes out that hole too. If I cover the hole with my finger and shoot. My fps goes to 400 ish. If I dont cover the hole. It only goes to 380 ish. This is with a .177 cal shooting 7.4gr. 

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