I have a Pfaff Grand Quilter (actually I have two machines) one of them I use for everyday piecing & quilting. The other one sits on a Grace Next Generation Frame. I have had the same trouble with my machine on the frame. The thread keeps breaking, I have used different needles, thread even played with the tension. Got so frustrated that I stopped using it. There is a forum on Yahoo for Pfaff Grand Quilters, and they provide lots of advice and suggestions. One thing I did find is the frame has to be leveled, if the floor is slightly uneven it cases issues with the machine.
I still have my frame and machine set up and really would like to use it but like you said it is very frustrating to have to keep threading your machine. I have even looked on the Pfaff website but they don't provide any advice or help with their machines.
So right now I am quilting on my other Pfaff Grand Quilter on my sewing table and have no trouble when I use it there. It works beautifully!