Its most likely engine bay heat effecting the gauge, or engine temperature effecting the intake manifold vacuum, or some of both. Do you have a vacuum gauge to compare manifold vacuum cold versus hot?
These inexpensive little gauges I really only rely on for basic diagnostics and setting the regulator for initial installation. For a high degree of accuracy I would recommend swapping it out for a more serious gauge.
But do at least compare engine vacuum. Typically an engine will have less vacuum during high idle cold start. Then more vacuum and lower idle once warmed up some. This would cause fuel rail pressure to be lower when hot, due to the vacuum reference to the regulator. I havent paid a lot of attention to VHR vacuum readings in a long time, but I suspect you will find similar habits in connection to cold start and full temp idle.
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