I have made several of their pillows.
There can be many different causes of thread breaks to trouble shoot. What needle type/size are you using? Needles should be changed after about 8 hours of stitching time. I've been using micro-tex 80/12 for most projects including dense embroidery.designs. Metallic threads usually need a net over the spool to prevent it unwinding too fast.
What thread are you using? I seldom have issues with Floriani, Brother or Glide threads. Check the path of the thread. You may need a small spool cap on the end of the spool. If there is resistance with the thread coming off the spool, there will be breakage. You may want to slow down the machine when stitching the thicker areas.
Did you hoop the project or float on top of stabilizer? What stabilizer are you using? Sticky back or sprays can cause the needle to become gummy.