There's a small rubber ring inside - make sure it's seated properly. Other than that, you need to screw it closed quickly - put gloves on in case it vents again but it took a couple to 'bed in' for me.
Yeah, the needle in the Co2 adapter has the padding around it, I've got 47 bulbs left so I'll keep at it.
They're Umarex branded, I did manage to contain the bulb from spraying everywhere but the regulator failed to move the gas from the Co2 to the rifle.
If the 'piercer' looks fine then you may just want to try another brand of bulb - Umarex are lubed anyway so I wouldn't run them in your sniper rifle.