Lots of fine responses. Thanks. I started this thread. For the record:
1. I can read On and Off.
2. I know left from right.
3. I know how to use a wrench (even a metric).
4. If the valve was already open, why would it not close? Same difference.
5. Lowes charged $21 and change to exchange, not $15. Ace would have been cheaper.
6. Icing the valve made no difference.
7. Releasing the pressure made no difference.
8. If two tanks in a row both seized up, mostly likely poor quality as hot brass doesn't seize.
9. Best advice, don't mess with it; exchange it. And always have a spare because failure always happens just as the steaks are ready to cook.