Alemite/Zerk fittings aren't what they used to be; I find that in many cases, I have to use considerable pressure to hold the fitting of the gun onto the fitting on the component to get a merely adequate seal. Without falure, this usually results in a few wasted squirts, and a paper shop towel filled with grease__I always wipe away any excess left on the exterior of the hardware.
I don't know if it's poor quality on the part of the gun, or the recepticle fittings, but you're right, things don't mate up the way they used to.