We used propane for years for heat and cooking. It's not my favorite, but we were fortunate that it was available. Usually the company who fills your propane tank is proficient in stoves and propane heating devices. Have you asked them yet?
It sounds to me like the valve is defective. The pilot heat is supposed to provide a signal that causes the supply valve to remain open. When the pilot light goes out the valve is closing to a safe position.