If you go to this site, and scroll down about half way there are some videos that may help you.
https://www.advmachinery.com/collections/hegner-scroll-saws
I kinda disagree with the one on tensioning. I use more tension than the video shows. When I test the tension on my Hegner by plucking the blade, I want to hear a high "C" note not a lower plucking sound. Breaking blades happen and the more experience you gain the less you will break. feeding th wood into the blade too fast, improper tensioning, wrong blade for the wood you are cutting can all cause blade breakage. When I first started with my Hegner I broke lots of them. So many I called Advance Machinery for advice. They gave me suggestions, and all of a sudden I just got comfortable with the feel of the Hegner. But, after 14 years of sawing I still break blades occasionally. Just part of the craft. Now I would not part with mine. The only other saw I would want is another Hegner.
The curve you picture on the blade, is that the top or bottom of the blade? If it is the top. when you put the blade in the top clamp insert it until it stops then pull it back a fraction of an inch, just a little, then clamp it. The stop is the end of the blade hitting the bolt that goes through the clamp. Pull it back just enough so it does not touch that bolt. Tightening the clamp with the end of the blade touching that bolt can cause a hockey stick bend like that.
Do not get discouraged, it takes a little time to work the kinks out, no matter the saw you are using.