If I recall correctly, the D500 is a diaphragm compressor without a tank. This means that it needs to be able to bleed excess air when you're not actually spraying (ie. when you are not depressing the button on your airbrush.) If it's all sealed up without a bleeder, then running for a few minutes without spraying may cause it to jam up due to excessive backpressure in the output side of the system. .
Simple test - run the compressor without the airbrush attached, ie. no load. If this works then you may need a bleeder.
EDIT: I have just checked the instructions as per the link above. It looks like a bleeder valve is supplied - make sure (a) it's installed and (b) it's not fully closed.