No you do not lube your delrin bolt.
Your "burping" issues could be due to a couple things...
1. Operating pressure is too low, which in your case would mean your tank is low on co2
2. Your sear could be worn and not catching the striker
3. You haven't properly cleaned and lubed your marker. Since you have a delrin bolt the only thing you really need to lube is your striker, but you do need to make sure the internal area of the body is clean and free of any debris.
If you have gone over all these problems and know that they aren't the problem then yes you do need to make a phone call to Kingman.