That's a damned shame. I never turn mine off. I have a couple very old nozzles I use, one on the mill, one on the lathe. They're the type that aren't OSHA approved, with no safety vents. I really like them, so I use them, and I'm the only one that has access to them aside from Susan. OSHA isn't a factor. As long as they are well lubed, and the insert is properly tightened, they don't leak. Even with my compressor set @ 175 PSI, it will often not start once a day, so I'm obviously not losing much air.
I rebuilt all my Milton connectors (something like 20 of them), replacing the steel valves with stainless ones that I made, and made new gaskets (which I also made), so they do not leak. I imagine it's nearly impossible to have an air system totally air tight, but yours sure sounds like it's pretty porous. Imagine if you ran higher pressure!
I have a manifold system and ball valves on my setup so I can blow down easily. It discharges outside, so there's no mess. It's one of the best things I've ever done for my air system because I now blow down daily, and it takes but a few seconds.
Harold