So here's the thing. One, your pressure will drop, sometimes a lot, if you set your reg at room temp, then put it in the fridge. When I had mine in the fridge, I had to keep a close eye on it for a few days after sticking it in there to make sure it was still set right.
Good chance that your reg is fine, and chilling it down is what caused it to go wonky. Go with the lube suggestion on the screw and see if you can make it hold pressure after a few days of adjustment.