While you're right about the burping, the loss of air pressure when removing the pump from the valve isn't enough to empty the chamber. Also, Marzocchi recommends a minimum of 180 psi, which is required for proper rebound damping. I've seen a couple instances where the seal for the air chamber has been shuffled out of place, making the shock pretty much useless.
While the shock is deemed user serviceable, my understanding is that mostly refers to oil changes, and that taking the shock apart voids the warranty, unless you're a certified tech. I've read that a couple places, though nobody has confirmed it 100%. It wouldn't surprise me though, given Marzocchi's tendency to cover their asses.
I agree w/ phat that you should take it into a shop and let a pro look at it. It's most likely a warranty issue, which I'd let Marzocchi deal with. Kris at Go-Ride knows the thing inside out. He'll tell what's wrong w/ it and what to do about it.
Remind me. We'll send him a red cap and a Speedo.
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