I have the very same problem with the very same saw. It appears the arms are out of alignment - the lower arm is further to the right. I've tried adjusting the set screws as many have suggested, moving my lower set screw as far as I can to the left and upper to the right, but it doesn't move it enough. The blade still moves about 1mm side to side when running. In hindsight I should have returned the saw when I first got it.
I'm an experienced woodworker but new to scroll saws. I'm having trouble following my patterns. The blade keeps wandering and I wonder if this runout is contributing. I've watched lot of videos, followed lots of advice and tried lots of different blades. I'm cutting white oak of different thicknesses.
Any suggestions?