John,
You've obviously switched the two leads.  The aux air reg gets 12V from 
the time the engine is switched on to the time it's switched off.  The 
cold start valve only gets voltage when the starter is engaged.

To check this, just pull the connector to the cold start valve and start 
the engine.  If it purrs like a kitten then the problem's solved.  

Btw, running the engine with the connector off won't hurt the brain.  
It's a straight 12V connect off a relay. 

Jack