"finger" tests do NOT work for tire pressure. That is why we have pressure gauges. noobster you are fine. Pump the tire to the pressure you want to ride at. Do not ride below the MINIMUM pressure listed on the sidewall of the tire, but do not feel obligated to ride at the maximum either. You can vary your pressure greatly both within this range, as well as above the max.

Inflate to a pressure that will give you a decent ride with your given weight and tire size. Some good guide;ines can be found at Sheldon Brown's website

As for pumps showing pressure when the head is attached...some use a mechanical means of depressing the presta valve when the head is placed on it. These pumps will read a pressure before pumping begins. Other pumps do not do this. In order to read the pressure in the tire they must be pumped up until the pressure in the pump head and hose equals the pressure in the tire before the presta valve will "open" to allow more air into the tire. You can hear when this happens. When you've reached that point then the pressure you are reading on the gauge is "equal" to the pressure inside the tube....at least until the pressure decays due to the leaks in the pump or pump head, etc....