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The jet engine goes through the first time because their universe slipped into a tangent universe, which is why Frank the bunny had to save donnie from getting crushed, because then the tangent universe would have had no way of becoming normal again and it would have been destroyed, and Donnie is also the living reciever.
The Jet engine goes through the second time because with donnie still alive everybodys lives wouldve been stuffed up ( The english teacher got fired because he flooded the school like in the book, charita was in love with him and was getting destracted from her work and if donnie died she could get focused again, Frank would not have been killed, Gretchen would have not been killed and his Mum and sister and all the girls in SPARKLE MOTION would not have died in the plane crash from which the jet engine came.) So the Engine had to come through the worm hole (which you see in the end) and kill donnie in his house to stop all of these events happening and to restore order to the universe.

Hope i explained youre question:)