I don't own one of these, but the comment about the "leaking" regulator is interesting. Considering that it's a "continuous flow" type compressor (ie. no tank) I would have expected the regulator to "bleed" excess air while running to prevent overpressure on the compressor side of the regulator. I would be hesitant to swap this out for a reg that may or may not incorporate a bleed system (if indeed that's what it is).
Being of a design that isn't intended to operate with a tank, I am guessing it would be up to you as an operator to monitor the tank pressure as it fills and switch off the compressor at the appropriate time.
I don't think that a tank is all that essential for this particular model as it appears to incorporate an in-line pressure sensor which activates the motor when you need air and switches it off when you don't (ie. when you press/release the trigger on your airbrush).
Before changing any of the factory installed parts or attaching to a tank, I would recommend that you check that these actions will not void your warranty in any way.
I suggest trying the unit "as is", and if you're happy with the performance, stick with it, otherwise if there are specific issues that you find with your own use of the unit, then address them when they arise.