As previously suggested, you needed to remove the pipe in-between the fitting circled & the PRV, stuck in the inlet of the check valve you will most likely find the half white sphere which is the end cap from the bottom of the PRV (see my photo with the arrow pointing at it). remove it & water will flow.
I have see a few cases of this, it is not happening to all but enough to see they are not fixing them in properly.
P.S. with the new valve set you have installed, I would say the old expansion relief tee needs to be removed & the safety valve on the Caleffi set piped in correctly to the waste which will mean draining the cylinder, whereas if you had just gone like of like on the PRV you wouldn't have had to.
Sometime cheapest works out more expensive!
Please let us know how you get on Ash.
I have see a few cases of this, it is not happening to all but enough to see they are not fixing them in properly.
P.S. with the new valve set you have installed, I would say the old expansion relief tee needs to be removed & the safety valve on the Caleffi set piped in correctly to the waste which will mean draining the cylinder, whereas if you had just gone like of like on the PRV you wouldn't have had to.
Sometime cheapest works out more expensive!
Please let us know how you get on Ash.