What the heck kind of spray gun do you have? Most guns stop the pressure at the gun. The nozzle on the end of the wand nor the wand has no flow or pressure after you let off the trigger gun.
It's the one that came with the Milwaukee. So you're saying this is unusual I guess - I should get a different wand? The user manual says
Using the quick-connect collar, changing nozzles is quick and easy. (I imagine you are LOLing at that)
1. Place ON / OFF Switch in the OFF (O) position.
2. Shut off the water supply at the water main then pull the spray wand trigger to release water pressure.
To connect a nozzle to the spray wand:
1. Engage the lock on the wand by pushing up on the lock off until it clicks into the slot.
2. Insert the desired nozzle. Push until a “click” is heard. Tug on the nozzle to be certain it is secured properly before releasing the lock off on the wand.