Turns out I made the mistake of thinking this was going to be similar to Mach3 and would know if the spindle and coolant needed to be turned on. And inform me to be ready!
Based on my conversations with Steve, I have it working fine. Just need to remember to go thru a procedure before cycle start is used.
1) If the tool needs changing. (That's up to me to do.)
2) position the axes. (that's in the dry run popup window, or use can use jogging)
3) turn on spindle/coolant/mist/air/all mcode outputs, if required. (that's up to me to do)
4) Press Cycle start. (and who else?)