I have the Horizon too and have never had the thread break or have any other kind of tension issues. I would start from the beginning again, new needle, re thread with a different thread maybe and give it a go on your practice sandwich. It FMQ's like a dream so don't give up on it, make sure your presser foot is down.
Is your needle down light on? If it is and the needle isn't stopping in the down position, I would take it back and get the store to look at it for you.
It is a beautiful machine and well worth getting used to, if the store you bought it from offers free lessons, I would take them up on the offer, it will make using it so much easier. I also had a little Brother before this big machine so it is a lot of getting used to