There are 2 differnent machines with the name MegaQuilter. The original MegaQuilter with a 9" throat and the MegaQuilter 18.8, which has an 18" throat. The MegaQuilter 18.8 is always used on a quilting frame. The original can be used on or off a frame.
If you have the original 9" Megaquilter, you must thread the machine with the presser foot in the up position. This releases all tension on the upper tension disks and allows the thread to sit properly between the disks. The tension dial refers to the upper tension with the presser foot down. Also, the machine will not sew with the presser foot in the up position. It must be down to sew.
As for the MegaQuilter 18.8, I have no experience with that machine. However, the tension should work similarly.