I have the same puller and sometimes some collets require assistance removing the bullet.
I would look the collet over good, look for any burs or debris that could get lodged and cause problems. Also clean the body of the die, try only to tighten the screw "just enough" to hold the bullet. Anytime I had a firm crimp or a overly tight bullet and I had to really snug down on the screw, I had to remove the bullet with plyers...
All else considered, you could also call customer service at RCBS.
CW