Thread Fraying Occurring On One Needle:
The needle is not positioned correctly, ie. backward or slanted. The eye of the needle needs to be facing forward.
Burrs in the thread path or in the eye of the needle, or maybe a burr in the embroidery foot.
The presser foot is not centered and the needle is too close to the foot.
Thread is old or damaged; test that thread on another needle.
Thread weight is not in accordance with the needle size.
Thread Fraying Occurring On All Needles:
The rotary hook or needle plate area have burrs or rough areas.
Rotary hook timing issue.