In your picture above you have the tip of the sniffer sitting on a round silver piece. Is that silver piece a bolt blocking off a hole? Or does the copper propane line in the picture thread into the end of the silver piece?
If it's a blocking bolt I would probably try removing the bolt and using some thread sealant on it.
If the copper propane line connects to it then it sounds like the control has a very small leak. In this case I would try using some fine emery paper on the sealing surface of the copper tube and freshen it up then screw it back in making sure it goes in straight.
