If you think sewing machines are picky, try a longarm!!! Mine doesn't like a certain brand, but thankfully it likes the more economical thread!!! One thing we discovered when we were trying to figure out a problem. DH has a piece of equipment that actually measured the width of the thread. We found the more expensive thread would change "sizes" (in mms or smaller) within a 10" space. The cheaper thread was consistent!!!!!!! Maybe this is what is bugging your machine.
Oh -- another thing --- I change the tensions if I have to use the one I don't like ------- and I slow down -- that helps. It's a PITA but it works.