Yes, it is forming a loop. There is just nothing there for it to grab. It doesn't appear to be happening too high or too low. Then again, I'm far from an expert. It appears to be happening correctly for me.
I manually fed the bobbin thread up through the needle plate, which would happen if the loop properly grabbed the thread. This too did not result in any stitches.
I did change the needle, that didn't do anything.
Is there a way to post a video on here? I'd be willing to take one of what's happening, if it would help. Maybe I'm explaining things incorrectly or am missing something?