THC UP & THC DOWN are not outputs, they are inputs.
Normally, an external torch height controller sends UP and DOWN signals to Mach, and then Mach will move the Z axis up/down accordingly.
To identify the THC UP/DOWN inputs, go to Config / Ports & Pins / Input Signals. There you will see which port and which pin is used for each one.
The tick box "Allow THC UP/DOWN Control Even When Not In THC Mode" is for when you have manual switches wired to the THC UP/DOWN inputs and you want to manually control the Z, even if THC is not switched on. This is typically done with oxy acetylene cutting where you may not have a THC control and you just adjust the Z height manually.
Google for the Mach2 Mill manual. It has a good explanation of how Mach THC works.