I have a Sapphire 830 and I had lots of little issues the first days. I have used different threads and had different issues but you know what I think the main culprit seems to be for me? When I have literally been sewing for hours straight doing speed piecing it just starts acting up until I quit. I think it's getting hot or something and the left end where the light is gets very warm.
I find that I need to re-thread everything when the bobbin gets messed up. I have also found that sometimes the bobbin thread comes out from between the tiny little metal guides.
I am expecting an order of Essentials thread ANY DAY NOW (sheesh I've been waiting and waiting) so I will have to see how it likes it.