Is there a machine setting that puts the presser foot in a "auto up/down" position? It will be in the preferences menu.
Do you have a needle up/needle down button? Try that first before starting the embroidery stitches to see if the thread is taken down into the fabric. You may want to experiment on a sample piece. Try it with presser foot up first-put the needle down and then needle up. Does the thread go down into the fabric?
Then try with the presser foot down. Do a needle down/needle up to see what happens.
Last resort, is to start a few stitches/stop the machine/cut the thread tail close to the stitches/proceed with stitching.