Glad you joined us. We are here to help, and give hooo's and ahhhh's to all the neat things you are going to make. Great bunch of people hang out here.
Len is correct.
What you want to look at is "spindle travel" or "quill travel" to determine the depth of hole that can be drilled. This saw has only a 2" quill travel, from what I can determine.
I use the mini bits from Mike's workshop. I use #63, #65, #70 most often. My drill press chuck will hold them. I have to drill a little, raise the bit out of the hole and clean the flutes. I do this while the bit is turning with my finger nail.
I am a Ex owner and a big fan. I am sorry to read about the problem you are experiencing. I have not experienced such a problem, so I cannot give advice. I did want to welcome you to the forum and ask you to please keep us informed about the fix for your saw.
Welcome to the forum. As far a tension, if you go to Youtube and search "Scroll saw blade tension", there are several videos on the subject. You can hear the sound you are trying to achieve.