The elastomer that the diaphragm is made of is effected by temperature. It will react more slowly to changes made to the output setting when it's cold. You set it at 20psi at room temp and then put the whole setup into the fridge. As the diaphragm in the regulator became fridge temp the output setting dropped to 10psi.
Now that everything is at fridge temp try resetting the pressure back to 20psi and see if it stays put. Something to note. When you keep the tank in the fridge, and set it to your desired psi when it's cold, it will slowly "creep" over that setting over a little time. I like to set mine just slightly below my desired pressure and allow it to creep up to it. If I wanted 20psi, for example, I'd set it to about ~17psi and let it sit.