Josh, the compressor's regulator is for the tank and mine goes to about 128 psi when full. I limit the air network to 90 psi because that's all that is necessary for the tools I use. Keep in mind that my air is piped throughout my shop. If you are connecting a hose to the compressor directly, you can use the compressor regulator if you wish to knock things down for your specific application. The input for my particular gun is good at about 40 psi.
Small regulators are pretty inexpensive. The one on the gun is specific to the gun and is appropriate for that application. You must have it on the gun because what happens is the input air from your compressor is used to "spray" and the on-gun regulator (for the gun we are discussing) is what knocks the pressure down to what is needed to compress the flexible cup liner which assists with fluid flow. That's why these guns are so great...with the correct N/N for the finish being used, you can spray the more viscous stuff as well as the thinner products with the same gun and with it held in any position, including upside down. Literally.
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The most expensive tool is the one you buy "cheaply" and often...