Yes, it looks like a tension issue. One way to tell, apply tension, then release the tension. If there is a bow in the blade, it is a tension issue. Tension issues are usually caused by the set screw or thumb screw.
Welcome to the Village forum from Tennessee. I spent the first 60 years of my life in Minnesota. As a Pegas dealer, if you have any questions, give me a holler.
Yes, the ones I sell are large and don't fit the holes on the Pegas and other saws. I sell these as they will hold over 12 dozen blades with no problem.
I too give projects away. My latest are the Alex Fox Baskets, the modified ones. I call them "Blessing Baskets". Lots of people our age has health issues and the baskets can be a blessing to them.
An Alex Fox Basket C261 Modified. I used 1/4" Beech 8" square. Cut on the Pegas Scroll Saw using Pegas #1 MGT blades. After sanding with a Mac Mop, glue each ring, spray with two coats Lacquer Clear Gloss, and light sanding between coats. Comments welcome.