When you're done pumping, the pressure in your tire and the hose and the pump cylinder is all the same as what the gauge sees; when you pull the chuck off the pressure in the hose and cylinder and gauge all bleeds off.

Even when you measure your pressure with the dedicated gauge you'll lose a little pressure as air from the tire enters the gauge internals.

So I don't think you're really losing pressure when you disconnect - and if you were it'd be a valve problem or operator problem and not a gauge problem. Could be that the gauges don't agree with each other but you can't really know which one's right without some calibration testing. Could be some interesting findings if you bring your dedicated gauge to the bike shop and see how it compares to the other pumps they have for sale.