was that the actual thread, or was it picking up stuff from the bobbin race?
I have used connecting threads thread on many different machines for piecing, quilting, thread play, you name it and have NEVER had that happen....
My Elna is my pickiest machine..she will not use Coats & clark for anything...so I pitched it all and went with CT, Star, and Aurifil....
Might check your needle as well....even the slightest burr could cause that fraying...