Is it possible that you're not holding the threads taut (or using a leader piece of fabric) before beginning your stitching? If I don't do that, I get a nest where my line of thread begins (but not further down the line). So . . . If the nest is just at the beginning of the sewing line, then I would make sure threads are held taut for the first few stitches. If that doesn't help (or the nesting occurs further down the line of stitching), I'd also be heading back to the dealers.
Good luck!