Well mine always has tiny air bubbles in the return but thats due to my triopure ozonator.

Does your filter have air in it? Mine has a trap with a clear cover just before the filter and if I get air in the system it shows up here.

I doubt you could intruduce air on the pressure side so I'd check your O-rings around the filter.

A suction side cleaner like the polaris will easilly introduce air to the system if you dont get all the air out of the hose first.