All of those baseplates will develop leaks over time. It's a common (inevitable) problem with the pinned baseplate style mags. To correct it, you need to remove the baseplates, clean the absolute hell out of the parts, and get some blue gasket sealer onto the mating points. This should be considered a permanent fix, so be sure to take your time and do a careful job.
Let them cure for *at least* 24 hours before you charge them and they should be good to go.
The fill valve may just need to be tightened, or it's teeny tiny o-ring may be dry/ warped/ damaged, or need to be replaced. Fiddle with it a bit, but prepare to shell out for a new one if you have to.
If you don't have a proper valve key or can't find one to buy, you'll want to cut one for yourself out of another tool using a dremel or a grinding wheel. Using a flathead on those things is not recommended.
Gas efficiency is a pretty complex issue dependent on all sorts of factors including temperature, time between charges, and how rapidly you're firing the thing. Without seeing what it's doing I couldn't tell you whether there's a problem or not.
KJ M9s kick pretty hard and aren't terribly efficient as-is, so if you're getting an entire mag out of one propane charge I'm inclined to believe that your gun is running just fine.
Failing to hold open on an empty mag is probably related to worn springs or general fouling. Clean your gun real real good and see if the problem persists once your mags are fixed. If it does, you can find a spring kit pretty cheap online or through a retailer, or you can just live with the lack of hold-open and keep track of your rounds.
Hope that helps, welcome to the Beretta club!