What kelemvor said. Check that the threaded rod is all the way down in the lower body. If not, your top nut may not have enough threads to tighten all the way. Run the top nut down on the rod without the top housing in place to be sure it threads easily. Did you replace the cartridge? Some look identical, but have slightly different dimensions. (Too tall?) Is the cartridge all the way to the bottom, etc. Take it out and try it.

Not having a leak while the air purges I think would be expected, since there's no pressure to speak of yet.