Knowing your wand Darlene, and the fact the in-line filter arrived separately, I think Mikey is right on the money, tape up ALL the threaded connections with some teflon tape and all will be fine, it's too new to have a leaky valve just yet, check your quick connect on the hose and ball valve as well while you are at it.
You know we joke about things like this, but I honestly can't tell you how many guys I talk with say "filter.....what filter?" It's been on the wand 2 years and they never even knew it was there....funny how all of a sudden their flow is much better after replacing the torn and destroyed strainer.
Here is another tip, these little strainers come in two styles: Just the strainer and one with a check valve INSIDE the strainer, some distributors order their wands with these checkvalve strainers inside the the in-line filter housing,,,I guess they think it will help with drips, but that is silly cause it's behind the valve, a check valve would have to be in front of the valve to even work, and it should be at the jet to really work.
Anyhow, having this misplaced check valve strainer inside the filter housing can cause a flow restriction to the wand, especially when it's dirty and half blocked already.
So check yours!
No check valves behind the wand valve!