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If you have followed all instructions, in detail, when threading the machine, then you either have
1. a sticking mechanical sensor that is not registering the thread, or more likely
2. a defective machine, in circuitry, in control circuits, etc.
Either way, since it is a new machine, you should pack it up and return it promptly, for a refund or else for an exchange for another new machine of equal or equivalent value and capabilities. This should be done ASAP, at the store you bought it from, and with the sales slip in hand (or a copy of it, in case you need to hand it out... you might need the original sales slip also.