Greetings ShellShock, and welcome aboard
.410-bore shot shells are in a world of their own when it comes to reloading. They are naughty at heart and can be very finicky. May I suggest you start reloading with a larger bore shotshell. As has been mentioned in previous threads, probably the best way to learn reloading is with a mentor. You didn't mention your area. Many reloaders are happy to show a novice the reloading ropes.
I still remember when one of my shooting buddies, an experienced 12/20/28-ga loader, called me one evening about his new .410 loader. He was at his wits end -- while using his new progressive press, frequently the .410 hulls would spit up their wads and dump shot all over his work station. My reply was, "So, what's your problem? That's what .410s do." He was not amused by my reply. I explained that unlike the bigger hulls, when setting the wad in a .410 hull, you have to make sure that you're not trapping a bubble of compressed air, else the hull will expel the wad and dump shot all over the place. One solution is to do a slight double stroke to vent the air, but not enough of a stroke as to upset the loaders other functions (primer, shot and powder feeds). Another solution is to hold the lever down for a while so any trapped air will self-vent. I doubt there are any .410 loaders out there who haven't spilled their share of shot.