I had exactly the same experience. The page you listed doesn't show up for me but I used the same gauge so you are probably having the same problem. The fittings supplied with the kit look like standard compression fittings (especially if you wait until the gauge is installed and hard to visualize before checking everything like I did) but they are not. You need a tube nut. The same thing that secures your line down on the block. Unscrew the small fitting on the back of the gauge and the tube nut screws into that. DON'T OVER TIGHTEN the tube nut going into the gauge. The brass parts are just GLUED together. I learned this just prior to removing my instrument cluster for the 4th time.

The tube nuts can be tough to locate. I found one local auto parts store that had them after checking about 6 places. There is quite a bit of info on this you might find in a search.

Chuck