Check the thread path going to the needle. If you have a spool with the little notch, that can snag. I once had a King Tut quikting thread make a little lint ball behind the needle which snapped the needle and scared me to death. Was the needle inserted all the way in and the needle screw tight enough. Check the tension discs to make sure nothing is caught in them. You can only pull the thread from the needle when the foot lever is up and the tension discs are disengaged.
I have to push my needle up/ down button before using my auto threader on my Bernina to make sure it is it's highest point or I can damage the needle threader. As for the settings for your machine for FMQing, no way of knowing if it isn't a Bernina.