The problem is that you are looking at the wrong set of DRO's.
Soft limits work on Machine Co-ordinates, not Program Co-ordinates.
I have just run a test on the Mach3 on this computer, which is not connected to a machine. I set the machine co-ordinates to +70 in X,Y and Z, the set the soft limits to + and - 20 in x,y and z. True enough, when I pressed the soft limits button, I got the same warning that you did.
You need to zero your Machine Co-ordinates. Press the machine co-ordinates button on Mach (the surround lights up) and this will alter the DRO's to display machine co-ordinates. The only way to zero these is to press the "Ref All Home" button. If you have no home switches, this should zero them - if you have the auto zero box ticked on your homing page..
Once you have Machine Co-ordinates zeroed, then press the Machine Co-ordinates button again, the DRO's will now display Program Co-ordinates. You can zero these manually by pressing the zero x, zero y and zero z buttons. Your machine and program co-ordinates now have no offset. Go back to the machine co-ordinates.
If you had started this with your cutter in say the bottom left hand corner of the table, then this is your soft limit poition for minus x and minus Y. If z is fully home then you can enter 0 in the z minus box as well.
If you jog to the other extremeties of the table, this is your soft limits + position.
If you switch on soft limits now, it should be OK.
Remeber this is working on Machine Co-ordinates. The program can follow program co-ordinates just the same, but if it approaches the extremities defined by Machine Co-ords, the soft limits will kick in and stop the table, regardless of what is displayed in the Program Co-ords DRO's.
I must admit I have amended some screens on my displays to show just Machine Co-ords in small DROs under the main display. The main display I can leave on program Co-ords. I find this very easy to use as a quick check.