That tension assembly is very generic and common to a lot of different sewing machines. The pin is only there to keep the two tension discs from rotating. The thread does not go under that pin. Here's a picture of my 255 RB-3. My upper thread guide is further to the right and lower than yours, but I guess as long as your thread feeds through the two tension discs it will work all right.
Wait a minute, after further review is it possible that your thread guide is upside down? The more I look at it, I think that's the case. You also don't need to go crazy zig zagging the thread through that guide, once back and forth is plenty.
I just looked at your instruction manual. On page 4 figure 7 shows how your thread guide should be, and yours is upside down. CLICK HERE