As I stated before and agreeing with mattm, you still have air in your lines. However I don't think the air is entering through the bleeder threads unless there is oil on you calipers as there is alot more internal pressure when applying the brake lever/peddle than reverse pressure when releasing them. I just installed mine last night (to the the original speed bleeders, not Russel's) on the DL100 and wow, they are pretty cool and work great!
If they hold up well, they are going on all my vehicels. Beats the heck out of pumping the peddle on my trucks and holding it down with a stick while opening and closing the bleeder over and over again. Also, as Mattm stated, when fully tightend, they act as standard bleeders and can't leak through the check valve.
Side note: when installing them in conjunction with new brake lines, use the stock bleeders until pressure is built, then change to the speed bleeders. There is not enough pressure with too much air in the lines to release the check valve. (Don't ask me how I found this out)