I've used sheets from Walmart many times on my old domestic machine & on my Janome 6500. Never had a problem. I buy the cheap ones where you can just get a flat sheet. If it's not large enough, I piece the back. My favorite sheets are from IKEA. They sell flat sheets which are better than Wallmart but you can only get them in the store-not online.. They cost a bit more but to me have a better feel. I don't live close to IKEA, so most of the time if using sheets, it's Wally.
I also get sheets from thrift/goodwill/salvation army for more "selection" in patterns. I bring them home & give them a good washing & off I go. No one knows the difference.