The connection tube should just screw into the regulator body.
Often there is a broached hexagon inside the part that directly touches the bottle that allows that tube to unscrew (that is the part that is changed when the regulator is sold in a different country with a different propane bottle interface).
The challenge is that the screwed joint may be loctited. The fact that it is leaking might mean the loctite has failed with age, which also increases your chance of unscrewing it.
At the least, it is worth trying to unscrew it, clean everything and reassemble with a thread sealant (e.g. Screwfix 4373J).
If your propane hose looks anything like the one in the photo, a replacement hose would be a good idea.