Yes, when the check valve is working, then everything after the pump stays full of fuel and pressurized. Supply line from pump the engine bay, filter, rail, injectors... Everything between the pump and the pressure regulator.
And yes, if you put the check valve up in the engine compartment, then you will not have pressure in the line between the pump and the engine bay, but everything else should be pressurized.
I'm not sure the problem is the pump losing prime. I've found that if you disconnect the supply line to the pump, fuel comes out. Implication being that the pump is gravity primed. I'm thinking that maybe the fuel is "siphoning" out of the rail somehow to achieve an equilibrium point where everything is even. That point may not be as low as the pump, but it might be lower than the rail. If that's the case, you would have to run the pump to refill the rail, but the pump itself has not lost prime.
In other words, I'm thinking that the check valve does two things:
1) It keeps everything pressurized
2) It prevents "backflow" through the system that would allow the rail to drain from gravity?
Just a theory.