Yeah, I would expect it to make a heck of a hissing sound like a yoke valve o-ring does when someone doesn't screw the first stage on all the way before turning on the tank. Maybe because it is captured down in the body of the first stage the gas couldn't get out fast enough (like it does on all sides of a yoke) so it blew off? We'll never know for sure unless Tursiops tests it.I promise you it will.
It's just an o-ring that goes around the circumference of the filter, lightly holding it in place, and then face seals on the body of the first stage - exactly like your DIN fitting does on the tank valve.
If you back it off, it will leak - significantly - just as it would if you don't screw your first stage DIN fitting into the valve all the way.

Tursiops - if it hisses then redo the test, but make sure you open the valve real fast.