There should be no neeed to purge the system. The likeliest cause, as mentioned by others is that a valve is still closed. There is a master valve and sub valves on a manifold usually undre the sink somewhere. The valve is open when the handle is in line with the pipe. If these are all right, and you are absolutely sure??? the cylinder is fine, then you need to start checking. It could be that there is gunge in the hose line, especially if the regulator is not high above the cylinder. If that is clear then it could be the regulator itself. Really the only way to check that out is to swop for another good one, and if you are in any doubt, then get a dealer, or competent person to do this for you. If this all works then there could be a kink in a pipe somewhere blockking the line, although that is very unusual.
However, it is usuually something realtively simple like valves or the hose that is the problem. Do you have a twin cylinder set up, and if so, does the other cylinder work? The other comment is that if the ssytem is empty of gas, it will take a few minutes to come through. Switch on a hob burner and leave it and listen carefully, you should hear first air, and then gas coming through. It will smell. Don't let too much gas out before you try to light anything though.