The one on my Janome didn't work quite right when I first got it. I took it to the dealer and he fixed it. The little arm thingy was not at the right height but ever since then it has worked like a dream.
Try adjusting where your needle is when you use the threader. If it is not in the right spot it won't work right. Normally it should be in the up position but if your needle threader arm thingy is a little off like mine was when I first got it then you'll have to figure out where it is suppose to be.
If you got your machine from a dealer I'm sure they will get it adjusted for nothing. It probably takes all of like 30 seconds to fix from what it sounded like...
It is a great gadget. I love mine and am spoiled rotten by it!