AirGas was out of 5lb cylinders, so I got a 2.5 loaner from them for free. Leakchecking revealed a leak at the connection, so I muscled the wrench a bit more, and got a little better (now it's only a miniscule leak, which could be due to the cylinder being absolutely freezing cold).
The nipple on the regulator (Sumo Premier) has a raised face flange, as I mentioned above. Inspecting it closer revealed that the raised face is actually a built in filter holder. I'll post pictures tomorrow when I get the 5lb tank and switch over. I just took the filter holder out, leaving the filter screen in the cavity, held in place by the seal washer. Anybody else have a regulator with this filter thing built in like that?