I did the frame cutouts on my current build with a Proxxon DS230 (looks exactly the same as the DS115) and didn't have any problems, it seems to be very accurate.
I have had similar problems with some softer materials.I have the PROXXON DS scroll saw and I am not happy with it at all. Whatever I am doing the workpiece jumps up and down with the blade and I can't change it. I tried different types of blades, different height settings of the press-down head but to no avail. I don't know what am I doing wrong here. I practically gave up using the DS at all. I would have lots to use this saw for (first of all carving blanks) but now I have to do it by hand or as much as possible by the PROXXON band saw.
Janos