A tip I learned when setting up a compressed air system in our shop is that on any pressurized gas system you can check for leaks with some really soapy water. I would start with the regulator solenoid unplugged and the CO2 tank valve open and check that initial connection by spraying or brushing the soapy water on. If no bubbles, turn on the solenoid and check the rest of the regulator with the soapy water (it shouldn't hurt anything, just avoid soaking the actual solenoid coil and plug). Make sure to rinse it off after you are done checking. The solenoid coil can be taken off for rinsing with the little nut on the bottom. You will find the leak this way, if there is one!