My first thought also was not threaded correctly - not going between the tension discs. I can't really see into that area to be sure the thread is where it ought to be. The tension discs are inside the machine and not readily visible or accessible. I am going to take the cover off tomorrow and oil where my manual says. Maybe from that vantage point I will be able to see if something is caught.
If no one has any other suggestions and I don't find it tomorrow, then off to the shop it goes. My patience is almost exhausted. I just don't like giving up on a simple mechanical machine. This one isn't fancy. No computer stuff.