I thought that Mach would compensate for the difference in the "set" RPM to the RPM shown in the RPM DRO.
Well, no, not unless you are using a genuine parallel port output. Then the PID settings are 'supposed' to work. They do not work if you are using an external pulse engine like a Smooth Stepper.
Looking at your question from a different angle, you can 'calibrate' mach3 for spindle speed. There is a 'Calibrate spindle' option under function Configs. It is a bit slow, but but it does do a fair job. You need to adjust the pulley top speed to be 'correct' as well.
Some DC supplies include a motor impedance compensation pot. This allows the supply to increase the voltage a bit when the motor is under load. Not perfect, but it can help.
Cheers
Roger