I've initiated a return. They contacted me this morning and basically suggested I check the bobbin case for any nicks or sharp edges, check the thread path for any catching, pretty much everything I'd already done. They asked me to send photos of the "thick fabric" I was using, and I explained it's just cotton quilting fabric and re-iterated that it's not like I am trying to do blue jean hems or draperies...but that it makes me wonder if the machine is this sensitive with simple cotton, is it really an industrial machine like the claims state. I've made mistakes in sewing, and had to correct a mistake. But (as I said to them) if I have to stop every two minutes to clear out a thread jam, cut threads, cleanup my piece..that isn't really conducive to quality sewing.
Luckily, they do have a good return policy and I've boxed up the machine and sent it back. Granted, I'm sad to not have a machine, but I'm going to take my time to find a suitable replacement.