It sounds like the extractor either broke its hook or flipped out of the bolt altogether. The 10-22 is a pretty reliable rifle but that extractor will cause problems sometimes. If the gun is brand new did you swab out the bore and chamber before you took it out to shoot it???
About the only other thing I have seen cause what you are describing...right out of the gate with a new gun is a rough or otherwise defective chamber. You might want to have a look at some of the brass empty cases that you fired. The sides or walls of the case should be smooth. Maybe a little smokey black but smooth nevertheless.
I'd bet my money on the extractor flipping out of the bolt...i have done a few conversions for guys that want a full auto 10-22 and the extractor must be pinned for full auto fire. It is only retained by spring tension as produced at the factory. Bottom line...check the brass, clean the bore and chamber real good and make sure you still have an extractor in the bolt.
Edit: I have never owned, nor have I ever seen a 10-22 that was right and was "ammo picky"...when they are right, and most of them are, they will eat up any ammo you feed them. Not saying it cannot happen, but it is rare. 10-22 magnum...not so much.