The Reservoir bag loses air when the concentrator is off, is that normal?

It is normal for the reservoir to drain slowly when the concentrator is off. On an ExtremeO2, best practice is to leave the slide valve to the reservoir on “-O2” in order to close the valve to retain oxygen.

For a LiveO2 there is an attached plug (cork or cap) to prevent leakage. Replace the mask with the plug. The masks have a check valve that will allow oxygen to flow out.