Lathe threading is supported in Mach4, but depends on the motion controller.
Single pulse, tachometer, and full encoder are possible, depending on the
capabilities of your controller. PMDX supports all modes with our SmartBOB
series, with the exception that the PMDX-411 only supports single pulse.
ESS support for lathe threading is in development, but still pending.
I think the UCC products support threading in Mach3, but I am not sure
about Mach4 and their web site does not seem to provide an answer.