Just looked on Screwfix website and this was in the Q and A for your saw.
"This saw does not take pinless blades as it is supplied, despite the claim it does, I did query this with screwfix after I purchased one and they admitted the spec/manual is incorrect and needs updating, if you use facebook try a post to Scroll saw u.k. for advice on pinless clamps, apart from that the saw is fine"
Did you buy it recently from Screwfix? if so you might be able to return it and swap for another model that will clamp pinless blades? if you are wanting to do internal cuts then you need to use pinless blades so they will go through tiny holes.