Boy, I wish I had something encouraging to say. My mom has a Brother embroidery machine and the sulky thread does break on me when I'm using it. But, she always says it's the thread.
I don't have a lot of experience with embroidery machines and needles and so on.
In the good ole days, Brother had their own embroidery thread line and that thread never broke.
But, they don't make it anymore and the sulky thread does break.