I think it is supposed to leak a bit of air, mine always has... The techs at SS can probably tell you why, or HSD.
From the HSD manual:
When the machine is powered on, presssurized air must be delivered even when the electro-spindle is stopped, to prevent dust and dirt from the machining area from entering the electro-spindle.
With the spindle stopped, make sure that there is uniform flow of air around the spindle shaft (pressurization air). If there is not, check the compressed air circuit and connections.