With a rotary hook, sometimes the finger that holds the hook in place is pushed in too far, and the thread can't get past the finger. The finger is where the red arrow is, and the screw to loosen it is where the blue arrow is. The idea is to have it pushed in just enough to hold the hook in place, but only barely. Also, the finger can sometimes get a burr or rough spot on it that can be polished off with a very fine sandpaper (about 400 to 600 grit).