Try this:
Go to diagnostics screen, see what mode you are in, ie; G94 or G95. ( green light will be on by it)
Now open the wizard and generate a G32 threading code, when you run it, there will have an initial move and then the green light will change to G95 which means Mach is waiting for the index. If you were to dry run the code, you would see the intial moves, the G32 tells Mach that you are going to thread and starts looking for the index.....no index to Mach..... then the Z will just sit there.
RICH