Women using outdoor grills = bad idea

Ok just start laughing now because it'll happen eventually. I am not exactly new to grilling outdoors, I'm just hesitant to do it because using the propane makes me exceptionally nervous. You should have seen what I put Matt through when we went shopping for grills last month. I now have a small tabletop gas grill that uses 1 litre propane cannisters, at least I think it's propane. Anyway, one bottle ran out as I was warming up the grill, so I shut off the supply, changed cannisters, and lit it back up again. I turned the heat to just above medium high, threw on the ahi steak and went back inside. I check on it a few moments later, and I see something peculiar: the metal connecter was ash grey, not black as per usual. I'm thinking something is going to explode so I shut it off and run back inside. Then I realize I've left the food on the grill, half cooked. I go back out to get it when I saw the connector had gone back to black. I touch it hesitantly a few times and it's ice cold. The cooling thing had been activated, which I assume is a bad sign, so I grab my food and run back inside. I let it cool down some, and when I went back outside to check on it, I heard gas hissing, and smelled it strongly. I had been sure I switched everything to OFF and locked. I had. I did it again, and everytime I screwed with the knob it got worse. That's when I panicked, madly texting my grilling guru who assured me it's ok that it's venting, and to just leave it alone. I called my apartment office to see if the maintenance guy could come see about it, but they're closed for lunch. My hands are shaking so badly and I'm verging on panic. After repeated instruction not to screw around with it, just leave it to vent, and take off the cannister hours later, I am somewhat more at ease. Not entirely. THIS IS WHY I HATE GAS! Stupid grilling that makes food taste so good. So I have this grill for sale.... No, I'll just not ever use it unless my grilling master is here. I really have no clue what I did wrong though. Any clues?