It normally is not problem to purge air from the lines. You must have something strange going on.
I used to have similar problems because of where my pump was located. It was positioned about 12' away from the tank which is too far (pump specs say 10' max but I think that's too far for good operation).
Think of the straw trick where you put your finger over the top and hold the fluid in as you lift it out of the glass. Turn that straw on its side and the fluid dribbles out. The supply line has the same issues. In my case the pump was so far away that it had a hard time priming and then after shut the flow off, the pump would lose its prime as the water dribbled back into the tank.
My fix was to move the pump to being directly over the tank. This solved all the problems and allowed it to prime immediately.
Hope this helps.
Scott