External motion devices may or may not support soft limits and/or have their own soft limits configuration. You will need to check with the hardware manufacturer to find out if and how their device supports soft limits.
I recommend you read and follow Section 5.6.1 of the Mach3 Mill Install and Config. Guide to configure your soft limits and slow zones. The manual covers all configuration settings but it does not define what the slow zone is very well so I will attempt to here. The slow zone is the distance away from the ends (determined by soft min. and soft max.) of travel that the axis will start slowing down. The axis will get slower and slower until it reaches the soft limit. The optimal setting for the slow zone is however far your axis will travel in the time it will take for it to go from zero velocity to max. velocity (speed) as defined in motor tuning. I would add a little for a safety factor in case that axis has skipped steps anytime since it was last referenced. The optimal slow zone will get bigger if the accel. (in motor tuning) is made longer (smaller number) because it will travel a further distance in the time it takes to go from zero speed (velocity) to max. speed (and max. speed to zero speed). In order for the soft limits to be effective you must have a solid homing (referencing) routine (home switches installed, configured and working properly or jogging to a specific point each time the machine is referenced). Obviously you must have soft limits enabled to see the benefits of them. You can enable/disable them by either clicking the soft limits button or using Script. The soft limits enabled led will be on when enabled and off when disabled.
As with all DROs in Mach, once you click in a box and type the number you must hit the enter key to set the value. Once you have made changes in the homing and limits config. dialog make sure you click ok so your changes will be saved.