Thank you so much for all the replies. I did already call SU and they said I must have had a defective die and sent me a new one, which acts exactly the same way. They said they have had no complaints about the die. I imagine not a lot of people have purchased this particular set. I do love the zigzag edge and will be satisfied to use it.
I will also try the wax paper trick, but at least I have learned about "intricate" dies now and will steer clear!