I don't use a lot of Sulky threads but I have purchased some if they were the right color when I was doing an applique. I find them tricky to work with because the ones I got were made out of Rayon. I found it quite slippery. When I sew with it, I make sure I have a new needle and slow my speed down. I have a Janome and I use Coats and Clark and have never had an issue whether I am sewing a garment or quilting.
I would definately take them back to Joann's. There shouldn't be any reason why they wouldn't take it back.