I had a horrible Schwinn shock pump that really did let air out on disconnect. I had to overfill both fork and shock by about 10 psi to account for the air loss. Needless to say, I got fed up with it and chucked it!

I should also add that I'm still dialing in shock settings on this rig, so I'm a little more OCD about it at the moment than I'd be if I was totally confident in my settings.