Having a nightmare of a time myself and there are loads of posts around saying the same thing and others I know have had problems. The problem being the grease gun is just cheap rubbish (for such an expensive frame!).
Myself it took a hell of a lot of effort to get the knurled part undone in the first place. Needed soaking for ages in 3-in-1 and a serious vice grip.
Finally done that and now following the exact instructions and same as above, the grease just comes out of the knurled cap, not the bearings. Problem I can see is if I don't tighten enough it'll come out the gun, and too tight the cap comes off the nipple slightly and again comes out the gun. Can't find a way to make it stay fully on the nipple and be tightened up.
Looking at various Cruz dedicated forum threads, I may follow their advice - chuck in the bin and get a proper gun.