Shure Stylus Gauge

I've never tested the diffences; I measure on a record and Let It Be. I have used a touch of lube on the pivot pins of the Shure to eliminate bearing stiction.

There is something definitely not right here. The first is that you should not get a different reading when you apply pressure to the gauge and it does not return to the same spot. If it bottoms out and does not return, you have no way of knowing what vtf you have.
It is not true that the vtf will change due to the height or vta. For any arm that uses only counterweight to control balance and vtf, the reading should and will be exactly the same regardless of the position of the arm. Technically, if there was still a spring in yours, the spring could have a different tension depending on the height the arm was sitting, but I have never got a different reading on an rb-300 that I could detect. To be sure, you should not get a different reading depending on height.
I'm struggling to clarify rather than confuse- but here is this. If you are going to measure vtf on any arm, you should apply some sort of of light tap on the gauge and get a reading that way to be sure that other forces, such as friction or damping or resistance, are not giving you a false reading. A cheaper arm with cheaper bearings, or sticky damping fluid, or bound wire, or any external force could cause a reading different than what the vtf is when things finally come to rest.
None of this should apply to you since the rega arm has excellent bearings, no damping, and cardas wire is thin and flexable enough that there should be no influence that you should be able to detect. That particular combination should balance perfectly every time.
I can only guess at what is going on, but I am sure something is not right, and hopefully it is your procedure in getting your vtf. I would first put the stylas gaurd on and balance the arm to acheive 0 vtf, and it should float and dance around with no resistance. Do this to accustom yourself with the behaivior of the arm and check for anything which would cause the arm to not move freely, such as the wire causing tension, the cueing lever, etc. There sould be no obstructions or resistance. Then, after you have done everything you can to see that it is free, and you haven't ruined your stylas because you had the gaurd on, do your vtf- when you get it to balance, push down EVER so slighty, only about 1 or 2 millameters, and adjust so it balances.
Get back after you have done this or attempted to. Don't forget the stylas gaurd while you are checking it out.

I totally agree with MRCS's idea of mat vs. record underneath the gauge affecting the reading. I have noticed a difference in VTF when I changed the VTA even slightly using a Graham, SME IV.Vi, or a Rega tonearm. I usually place the stylus in the notch on the gauge, and then blow on the gauge lightly (once the weight is fairly balanced and in range) to reset the gauge. This allows the gauge to really zero in on the correct weight (by moving fully up, then back down to a true resting point) I've compared the Shure to a $600-$700 Winds gauge, and the Shure is pretty darn close (within 1/10th gram or so). Do your final dial in by ear though once you are in range.

Thanks to all for your help in this frustrating matter. It turned out to be a faulty gauge. I just got a replacement everything is set-up perfectly. Just gonna sit back, forget and enjoy.

Thanks to all for your help in this frustrating matter. It turned out to be a faulty gauge. I just got a replacement everything is set-up perfectly. Just gonna sit back, forget and enjoy.