A grease guns bleed screw is to let trapped air out from within grease usually after a refill, not to release any pressure. TBH just releasing the gun lever takes away any pressurising on this incompressible medium. The fact that a grease gun locks onto a matching nipple is by way of needed mechanical design. A twisting action at an angle to the nipple usually releasing.
If you haven't used one before George suggest trying one of the quick release attachments. They only work with flexible pipes though which in itself can aid the attachment process. Exceptions are greasing points in difficult locations - I'm thinking of forward propshaft UJ's which can be hard to even see never mind grease.
