I was just looking at the Denise website (www.knitdenise.com) because I was thinking about getting some, and I came across this in their customer comments page:
The original Denise set I received had troublesome cords. My stitches wouldn't slide easily along them and knitting got caught in the joins. It turns out that the Denise folk had a bad batch last fall/winter and I had accidentally received a set of cords from the bad batch. A quick call to Linda at their toll-free number and replacement cords were sent to me with no fuss. As promised, these were very smooth, slippery and worked perfectly.
The only thing is that this is dated 2003--I don't know if this could still be the problem with your set? Perhaps you could contact them and see.