Bear with me - - I'm new to Presta valves.

I was pumping the tires up last night, and noticed when I unclamp the nozzle from the valve, I can't
seem to quickly and carefully pry it off of the valve without the valve releasing a quick burst of air; just a quick 'broosh' - like the sound of an air gun. Is that an inherent 'thing' that just happens with Presta valves, or does my techinque need some tweaking? If it's inherent, do you over-inflate a little to compensate for anything that shoots out of there when removing the nozzle? Also - - there is a nut at the bottom of the valve that rests against the rim. I assume this nut is supposed to be pretty tight against the rim, correct? Yeah, Yeah, BEGINNAH from BAWSTIN!