I don't know what brand of serger you have so your serger might be a bit different than mine. My manual (Babylock) recommends that I use a 3 thread flatlock stitch to edge a stretchy fabric like fleece. It looks like a blanket stitch. The length recommended is 3.0 to 4.0, the width 3.0, the Differential is N-1.3 with the blade unlocked. Do not use a rolled edge. It will make a wavy edge. I hope this helps.
My serger is a very old bernette, I did as you recommended and lifted the cutting knife as well as raised the pressure foot tension. That seems to have worked on another stretchy fleece I tried. I have always used the cutting knife to even off the edges but on this kind of fuzzy fleece that just left me with a lot of pokies. Not using the knife somehow makes for a nicer edge. Thanks for all the advice.
This might help if the link will work:
http://www.youtube.com/watch?v=Je...