I used to run hydraulics for a living. Sounds to me like what
@braxton357 said....either something is plumbed incorrectly, or he doesn't have the bypass on the pump set correctly. Would need specifics of what he's running. If the pressure at the cylinder reaches what the pump relief is set to (if he's using a piston pump instead of a gear driven pump) or has a relief on his valve set too low, the pressure will bypass.
A few ways of accomplishing what he needs...first needs to understand what the load on the cylinder is, then set the valve relief higher than that load. Run the cylinder all the way out (or in) full stroke, set the pump relief to a given pressure (something higher than his load pressure needed). Then back the valve relief down a little lower than that, so that the reliefs are staggered. You don't want both reliefs blowing by at the same pressure, otherwise you'll never know where a problem is trying to troubleshoot.
Example: you need a cylinder to have a maximum 1500 psi to move the load. I would set the pump relief (if it is a piston pump) to 1850 psi, then the valve relief to 1650 psi. If it is a gear pump (no relief on those typically in my experience), it might not be a bad idea to have a redundant relief, or at least a pressure regulator set above the work load pressure.
A manual spool (closed center) valve should hold the load when the valve is in neutral. A motor spool valve will drop the load in neutral, unless you use a dual-lock check valve inline.