You said you have brand new twine in the baler. That got me thinking and I had a memory flash in the middle of the night last night.
When you thread twine into a baler you run it through the ends of the needles and then tie it off somewhere. Then you start the baler and cycle the knotter so that the needles place the twine in the twine disc where it needs to be.
With my Ford 542 baler which uses a knotter design similar to the JD and NH balers, the twine knife is on the wiper arm so that as the knot is swept off the billhook, it also cuts the twine. With the MF124 knotter there is no wiper arm. The twine knife is stationary and the billhook swipes the twine across the blade to cut it as it twirls around making the knot.
When you first string the baler, there is nothing that cuts the twine the first time because no knot is being tied....all you're doing is placing the twine in the disc. After cycling the knotter you have to cut the twine by hand. Othewise it's still tied to a fixed point on the baler and will never come off the billhook. I learned this the hard way. My first bale would always fail and I'd have to shut everything down to pick the mass of knotted twine off the billhook. Subsequent bales would work fine.
I don't remember if I learned about cutting the twine after feeding the twine disc by reading the manual carefully or if someone here clued me in.
Just a thought.