This is likely a tension issue, I'd try loosening both your upper and lower tension and see if that helps. If you're experiencing any "puckering" along the stitch lines, or notice your shell losing width, that's probably the cause, even if your stitching is evenly locking the top and bottom threads.
Otherwise, my experience has shown me that some machines simply don't do reverse stitching very well. This is often true of commercial machines. Another option, which was ubiquitous before industrial straight stitchers all started including reverse, is to lift your presser foot with the needle in the work, and spin it around 180deg, and stitch forward, back along the same line.
Gutterman thread like every big business, has various grades and styles. They've got some great thread, but the standard retail poly thread is a little course as mentioned. I much prefer Mettler Metrosene Plus for home machines. Although it's not available in very large spools, or cones at all.