You >could< embellish the question a bit. Better questions get better answers.
If you use a regulator that has rubber seats it is supposed to shut off bubble-tight and to prevent the downstream pressure from exceeding setpoint.
As JLSeagull mentioned, some regulators have relieving devices built-in. These are almost universal on the 1/4" filter-regulators used as point-of-use regulation. Fisher 67FR, Masoneilan 80-4, or the one they sell at Home Depot for use with an airbrush...That way if you have it all piped up and you are winding the adjustment knob to set the pressure,and you pass the setpoint, it will relieve if you unwind the set knob a bit. But if they leak through, the relief feature also will keep the downstream pressure from exceding set. Thjat's OK on air, but if you have the regulator on nitrogen you may displace the local atmosphere and create a hazard, or if the regulator is on something flammable like Natural Gas, there may be a potential for a kaboom.
Steam regulators can't have soft seats because of temperature, but as long as they leak more slowly than the steam condenses in the downstream piping, the pressure will not rise, and the steam traps will take out the condensate.