Because you never set fuel pressure with it connected.

Manifold vacuum is a variable, trying to set fuel pressure tp a specific value with a variable applied is stupid.

And how much it drops depends on how much intake vacuum there was.

There is no generic it "should" drop a set amount, because the governing factor is a variable.

If you want to test the setup properly, get a Mityvac or similar and test it properly by applying known amounts of vac/pressure to the regulator and noting fuel pressure, and ensure any gauges you're using are known to be working correctly.