I have a couple of Pfaffs, but as DOTTYMO says - threaders can be tempramental. It's easy to bend the little wire (done this on a Janome) and have to realign it with the aid of a magnifying glass.
Also, I use quite a fine Microtex needle for appliqué sometimes - 70/10 - and often find the auto threader doesn't work properly, so I use one of the
Multi Purpose Needle Threaders. Although that's a UK site, I actually got mine on eBay.
You place your thread across at the little arrow where indicated, run it down the front of your needle and a little wire pops out pushing your thread through the eye - voilà! It's really the same principle as as the one on your machine, but seems to handle smaller eyes better. Good luck!