A friend of mine gave me a modern Bernina with the advice that it was fussy with threads but liked Aurifil. It doesn't seem all that fussy to me, but then I'm not using fancy threads either and I just switched to buying Aurifil as my default because I like it fine too. This year I'm trying So Fine as a bobbin thread in my domestic/piecing machine for the first time, it's working well although I've had to make a few adjustments. I used Dual Duty for top/bottom/quilting for years and have only recently gotten into different threads.
Some machines might be fussier with the cone set up. I'm able to use my small cone of So Fine to wind bobbins but I don't think I'd try sewing with it on the Bernina, and I wouldn't like a large cone, I'd definitely want a stand.
My friend's long arm, we couldn't wind a decent bobbin to save our lives and started buying prewound bobbins. Our lives got about a thousand times easier once we switched to the prewounds, and that was when I first really started doing things with different weight threads top and bottom.
I know you tried changing the needle, did you also try changing the size or type? I really like the Microtex Sharps if I'm quilting on batiks, I find it really helps in terms of skipped stitches and such.
I typically piece with a 10 needle and then typically go up to a 14 for the quilting, but sometimes a 12 works better depending on the fabric/batting combination. And I've gone larger too.