Is it possible for the gauge itself to leak besides at its attachment to the reg?
Yes. It's not very common but it can happen.
And where else could the leak occur in Mathman's case? into the higher pressure compartment of the regulator? I'm just curious.
Assuming it passed the test on the high pressure side, the leak is either coming through the diaphragm or one of the ports. I bet it's probably the diaphragm at this point.