Clearly you have pressure on the regulator and the regulator is dialed up to 30 psi, so the problem is at the keg connection. I agree the most likely problem is you don't have the gas quick disconnect actually seated all the way down on the post. Try wetting the o-ring at the top of the gas post before you try to connect the QD, then pull up the QD ring while pushing down on the top of the QD 'til it bottoms, then release the ring.
What I can't actually tell from the picture is whether you have the black beer QD on the Out post and are trying to get the grey gas QD on the In post. Or vice versa. The grey gas QD has to go on the post that has notches cut into the bottom of the post.
The two brass pieces are a compression nut and ferrule, and came with the regulator. They would be used if you were hard-plumbing the regulator to a copper line...