Great question — answering as the UphillTech team:
It is almsot impossible to install it wrong, but then there are always some who find the way. When you open the faucet the pressure will drop (that is normal) and the regulator compensates by increasing the pressure to the set value. If you have one of those quarter turn ball valve and closed it rapidly the regulator has no time to react/adjust. Regulator only works when water is flowing, and does noting when there is no flow. Before you mess with replacing regulator try following. Very slowly close the valve and observe the pressure now. You should do it soon, because the very high pressure can damage your plumbing.
Full answer by DIY75: https://diy.stackexchange.com/a/296671 (CC BY-SA 4.0).
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