There is a real learning curve with learning to quilt on a frame. Even if you've been sewing or quilting for years, you won't just slide into it.
It sounds like you're having the usual problems of starting to frame quilt.
It's like a dance. You and your partner learn how to work together.
Expect to break needles, break lots of thread, change threads, change speeds, change the needle again, change the bobbin etc etc many many times until you find that 'sweet spot.' Then the magic will come.
I found out the first thread I was using was too soft. It was beautiful, but too thick and soft for a higher speed machine on a frame. When I changed the thread to a thinner one, and one with a bit of poly in it, it got better. Then the needle. It has to fit your thread. If the eye is too small, there will be too much friction and the thread will shred. Try a topstitch needle, it has a larger eye and is sharp!
Check your bobbin, make sure it is wound evenly, and yes, inserted properly. It usually helps to have the same thread top and bottom.
Now. The speed. Most experience sewers are used to hitting the speed "pedal to the metal." For longarming, especially if just learning, try using a medium to med/fast speed instead of full speed. you might have better success.
And last of all. Practise, practise, practise. It can take 40 quilts or so to become proficient at longarming. Get some old bedsheets and blankets from a thrift store and make up some sandwiches. Practise loading them on the frame. Practise adjusting the frame for the machine. The rollers should be a finger's width above the machine bed. As you roll up more quilt, you'll have to adjust them higher - then remember to lower them again for the next quilt.
So, as you can see, even if the test drive in the shop was easy, there are a lot of factors that have to get in balance for you to make your machine dance with you.
Don't give up. Hang in there. You will make beautiful music - in time.