I have noticed the same thing, and have done FMQ on several different machines. And different machines would have different "least favorite" directions. I had the least problem with a Singer 15 which has the bobbin mounted horizontally, facing the side. Had the worst problems with a slant needle machine going away and to the left, it's bobbin faced the front. It worked fine in every other direction, so I would make sure to turn fabric instead of going that way. I only did one small quilt on that machine and moved to another.
If you think about the way the hook meets the needle to grab the thread, and how fabric may be putting pressure on a different side of the needle than where the slot is, you can have some rubbing that could affect tension - as it's adding tension to the thread due to friction.
I have not tired to FMQ with my Juki, but it's got the same bobbin setup as the Singer 15. But it was made specifically to do FMQ, so I expect it would do fine.
One would think that an embroidery machine would be made to sew good stitches in every direction, so they would also be good with FMQ. I've also not tried to FMQ on my embroidery machine.
Machines that were only made to sew forward and backwards (not considering swing needle) may not have the ability to sew a consistant stitch in every direction.