I have had this problem even if it is threaded properly.  I found the I had to experiment with the individual tension dials for the threads.   I started with 1 on all four dials, then did a short sample and looked to the thread.  I gradually started making adjustments to each dial by going up one number at a time, one dial at the time and noted what changed.  It took a long time, but I finally found the correct tension for each thread....they were not all the same... and I marked the tension with a colored marker on each.