I'm still a DE rookie myself and the Progress is in fact my first DE razor, but I've heard that it needs a somewhat different blade angle compared to a lot of other razors; this, together with a too aggressive setting, could be your problem, coming from a Gillette.
I bought the Merkur Progress by recommendation by a good friend; had I read more posts in this forum, I'd probably had bought a Merkur Classic or HD for starters instead - less options means less to worry about, which is nice when you're just starting out, but now I'm actually quite happy with it. I'm beginning to explore the different adjustment options for different passes, and I can see that this razor will eventually become a powerfull tool as I become more experienced.
I'd suggest you go a bit easy on the setting - 1.5 or perhaps 2 for a start, and then pay extra attention to your blade-angle. And, as Paul suggests, be sure the markers on the head align correctly.
Don't ditch your Progress just yet; it might not be a razor for everybody, but at least give it another chance.
[FONT="Arial"][B]priisholm @ =# & [== [/B]
[COLOR="DarkSlateBlue"]- All conditioned things are impermanent. Work out your own salvation with diligence...
[I]The Buddha's last words[/I][/COLOR][/FONT]