Wheelman, I think that I understand what you may be missing and some of the above gets you there but is easy to miss. I'll give you the short version and I think you'll be able to figure it out, and then, if necessary post all the nitty gritty details once I can get back to my machine.
Mach4 has 3 functions relating to spindles you need to configure: a pin for SPINDLE ON, the speed function (pmw is what is discussed so far) and a direction function- mach wants you to configure a pin for FWD rotation and/or REV rotation (i.e. If you want to use both, you are configuring two separate pins for direction). Now looking at the VFD you see their is no pin for spindle off/on, and the direction is controlled by jumpering either FWD and DCM for forward and REV and DCM for reverse. This is the secret, the action of completing the jumpering the direction pins is the on/off function for the spindle.
What mach4 will do when it sees a M3 command is turn ON the SPINDLE ON pin and turn ON the FWD pin. You need to connect the output of either the SPINDLE ON pin or FWD pin to a relay. The relay should be wired to the VFD such that the relay Common pin is connected to VFD DCM pin, and the relay NO ( normally open) pin is wired to the VFD FWD pin. Thus when Mach4 triggers the SPINDLE ON pin, the relay is energized and the VFD DCM pin and FWD pins are shorted together, turning on and setting the direction simultaneously and actually starting the spindle. Of course, if you are using both forward and reverse, you should use the Mach4 FWD pin and Mach4 REV pin to trigger 2 separate relays wired to the appropriate VFD pins. The SPINDLE ON must be configured in Mach4 but does not need to be connected to anything, the direction pin will do both the on/off and set direction on the VFD.
The relay can be low voltage (mine is a 5v one), it is not switching any power, only creating a "short" or continuity between two pins at logic level.
Hopefully this is enough for you to get this working. Looks like you already have the pmw speed funtion configured.
Richard