Your first pass doesnt sound right at all, the motion should be constant and the speed should be up to its max before the thread starts. How much of s start are you putting on the Z? If your steppers have fairly slow acceleration you will maybe need to increase the Z distance so that it has time to get to speed before the cut starts.
Yes the pullstud is for the mill, instead of a screw drawbar like on a manual mill mine has a hydraulic operated drawbar that has jaws on the lower end, they open as the bar is pushed down, go over the pullstud and then the drawbar raises again and the jaws close round the pullstud and pull the collet holder into the spindle taper.
You will need some form of brake or pawl on the changer to make sure there is no movement when the tool is in position as even on a small lathe the cutting forces will be fairly large, especially in threading. I also have a front toolpost on the lathe, you should see it in the video, I am about to replace with another turret that I got, looking forward to it, just need to find the time.
Hood