basically it can break off, and the little bits can cause all sorts of problems in guns. If it's before your main air reg then getting some cr*p in there might suddenly push out a lot more than the 850psi or whatever it's meant to.
If it gets into guns it can cause regs to fail and solenoids to jam / screw up.
Yeah, many people have used it for years without a problem, but I know Bob Long has a policy that any gun with a farked solenoid due to PTFE voids warranty.
Use it only as a real last resort.
Personally I'd try a second gauge to see it that seals a little better, no 2 are the same, but enough loctite should sort it