Safe Z in Mach is a move that is used in certain circumstances. One of those is when doing a Run From Here.
What will happen is you choose the line to do the RFH from, Mach will run through the code and then ask you to press Start, you press Start and a box will pop up showing you where it will move to and will include a safe Z move if you have one set up. If you do not have a safe Z set up you can still enter one in that prep move box. It is, in my opinion best to have safe Z set rather than just remembering to enter it.
There are 3 options for Safe Z, Machine coords, work coords and incremental, my preference is Machine Coords, if you do not home the Z axis then possibly one of the others would be more suitable.
Hood