I was dealing with a similar problem. ( http://www.homebrewtalk.com/showthread.php?t=73151 ) Mine was a faulty regulator, and I exchanged it at the place from which I bought it.
If you force it, it will probably fail sooner, just a heads up. I'd call/talk to whoever you got it from.
What kind of regulator is it? Is the body round with no screws? Or does it have 4 screws, one on each corner of the body? (The colored "bell" part with the screw)
Pictures could help if you have a camera.
Might also help to use graphite lubricant (find @ an auto parts store) or a graphite pencil on the threads. That could help keep it from seizing. Anti-Seize lubricant is also available at an auto parts store.
I've never noticed a "pressure differential" on mine. Just as easy to turn at 5psi as at 30psi. I've never gone above 35psi on mine though. YMMV, it depends on your model. The basic principle, though, is bolt -> collar -> stiff spring -> diaphragm. So if your particular model gets a bit "tight" at that end of the range, it could just be increased spring tension. Like I said, mine doesn't really do that badly.