This suggests the design is emulating what was common full-size practice on large locomotives, to use a double-ported regulator. This may have improved sensitivity at partial openings but all my texts explain it relieves the load on the main valve by a small valve putting steam on both sides of it, hence reducing the operating effort needed.
.
I don’t know your loco’s design, but on a slide-valve regulator the pilot valve is a small slide working across ports on the back of the main slide. The links make that move before the main slide.
On a double-beat poppet-valve, the pilot valve is typically a small version working on an aperture through the larger main valve.
.
Testing a boiler under steam without the smokebox might not be very easy or effective, and using a blow-lamp is really the only way you can heat it in that condition.
Really though, the regulator ought work hot or cold; especially one using springs to close the valves. If the materials are nearly similar, and the parts physically small anyway, the differences in expansions will be tiny though may cause problems if your clearances are very tight. I would expect the valve actions to be very slightly loose cold, but the valves should still seal.
NB: A slide-valve type regulator should never be operated dry as that risks scoring the face. Lubricating it with soapy water should be adequate for a regulator in the dome; a spot of oil for an external regulator.