If this is the first time using your equipment, you'll want to leak check everything with a squirt bottle of Star San. Every seal that holds pressure from the bottle fitting on your regulator to the lid(s) on your keg(s) need to be leak checked.
FWIW, every regulator is different, but if you have one that you think isn't acting right, I'd leak check it and/or get/borrow another for troubleshooting.