Ok, I think I understand now. The filling loop only needs to be connected during the filling process. So it can be disconnected as long as the taps are closed. Some say it should be disconnected as this prevents the water from the heating flowing back to into the mains if the valve fails.
So if I disconnect the filling loop and I no longer lose pressure then the pressure loss was due to the water flowing back into the main and the valve is probably faulty.
If the pressure loss continues then I have a leak