WD40 is a moisture displacement fluid it dries up, Tri-Fow will stay damp amd collect dirt. Wax base will pentrate the threads and evaporate away the carrying medium called solvent leaving a waxy coating. This will lubricate without attracting dirt hence used on mountain bikes in the water and mud not sticking to the chain. Must be a good reason there. Dry film Moly just do not spray at the reguator unless you want a dark gray overspray. Spray the "T" regulating stud and screw it into the regulator before the solvents evaporate, you'll be surprised how easy it will turn in the threads after plus bone dry no dust or dirt collecting. Sounds like your regulator lives in the frig or keezer under high moisture conditions which is a no location in the first place. Unless a Victor or other welding regulator with a brass body and not a die cast aluminum or pot metal cheaper type regulator the metal screw vs pot metal and moisture is a sure start of a corrosion problem.
Even silicone grease lightly coated on the threads would help unless your regulator is in a cement factory outdoors in the dust and dirt storms and your adjusting it daily. Even my old Victor regulators in the shop for 40 years have no problems and this is not in a hospital clean air enviroment. As I stated above use what makes you happy I just gave you what works for me and the reasons why.
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