As previously posted, the higher thread count of sheets will often result in the LA needle cutting or breaking the warp and weft threads as opposed to sliding between them.
A LA needle looks like a Harpoon when compared to a DSM needle. Especially the larger sizes. One thing that has not been mentioned is the noise my LA makes when quilting with a sheet backing. It is a loud thwock, thwock, thwock noise. A very similar noise is made when you have a dull needle. If I were to guess, this is the noise of the needle puncturing the sheet rather than sliding between the weave of the threads as it does with lower thread count quilting cottons.
I recommend that until you get used to your LA and all its nuances, you should go out and purchase some muslin to practice on on inexpensive solid quilting cotton. You can purchase Moda Bella solids at Thousands of Bolts for $4.99 per yard. Or find an on line shop that is closing out fabric at $3.00 per yard. This way you can familiarize yourself with how the machine sounds with what it is intended to run with. Once you gain some experience, if you want to try using a sheet for backing go right ahead. You should hear the difference immediately, unless of course it is a flannel sheet. Flannel sheets do not have the high thread count of percale sheets so will quilt up just like any other flannel.