A couple of things I'm thinking:
1) You have a replacement bobbin case, it looks like, not an original Singer case. Sometimes those cause problems and don't work well. It's sort of luck of the draw. Do you have another FW that has a vintage bobbin case so you can see if that's the problem? ETA: Now that I read your post again, I see it's your first FW. Do you have a friend with a FW?
2) Have you removed the bobbin-case base to be sure there's no thread caught back there? I thought I had cleared a thread jam once and the machine was still giving me problems. Turned out there was a 1/2" piece of thread stuck in the hook assembly.
3) Make sure you put in the bobbin so it spins counterclockwise when you pull on the thread.
Good luck!
ila