Was doing a bit of looking, I'd guess that you may have the wrong regulator. Since Juki uses a signal from the foot pedal to activate the thread cutting, it's real easy to see how this could happen if the regulartor is sending a different signal.
It gets kind of misleading on some of the seller's sight as they say "fits these machines" and have a big list, but then they all say "state what machine you have" because it is not a universal unit that fits all the machine, but that there is a different one for each. And it could be switch settings within the regulator that are different too. I've not been able to identify any differences externally on them. Does your have a label on the back stating what machine it is set to work with?
If you bought it new, I'd send it back. I'd guess it's either defective or it's not the correct one.