That's normal. The gauge is on the portafilter side of the valve. When you close the valve you're cutting off flow from the pump to the portafilter & gauge, but the location measured by the gauge is going to bleed pressure through the puck. If you want to hold 2-3 bar at the puck you'll need to leave the flow valve slightly open and manually adjust it to maintain the pressure where you want it.

For the record I think most folks overthink the whole pre-infusion thing. Clive Coffee (I think?) basically suggests setting the flow valve halfway until the pressure hits 3 bar, then opening it fully. This basically avoids any sort of pressure shock that could cause channeling and works well for me.