Ok, well a couple of things as I see it is a lathe.
First is threading is not perfect. It does and excellent job of the actual thread and the axis follows the spindle exceptionally well, the spindle can slow, speed up,  stop, even go backwards and the axis will track fine. Where the problem is, the pullout at the end of the thread on each pass is slow, it will cut a groove at the end of your thread, so if that is not acceptable then it is probably best to look elsewhere.
Another thing is if you want threading you will need to get the Enc module, if you have that it also allows rigid tapping as a bonus

Now the MPG unit, it is definitely something I would get, just the unit, the hand held  pendant is not required if you are wanting to put the MPG itself on your panel or you have your own hand held pendant. The reason I say it is something I would get is because the motion is more like Industrial CNC motion as opposed to the way Mach does it natively. For example with Mach you have a few different modes but the two most usable are constant  and multi step. In constant the motion will be smooth but the distance is not accurate, what I mean is 1 click will not be exactly 0.01 or 0.1 or whatever, it will just basically be a random value depending on the speed.
In Multistep mode the distance will be exact but the motion is jerky.
 With the CSMIO the motion is smooth and accurate in all step sizes.

As for using the PoKeys, I am not sure how it does the motion for MPG but I am fairly confident it will be as Mach does it, reason being it does not have control of the actual axes.

Right one last thing, if you do decide CSMIO then I would recommend that you get the IP-A as it has a few advantages over the IP-S. But if going that route then you will need drives/amps that can accept analogue command (+/-10v) where if going with the IP-S then you will need drives that can accept Step/Dir.

Hood

I agree that for the 100 bucks for the MPG unit is worth it. Remember I am not doing the lathe itself. My customer has 30 Hyundia lathes with the Siemens controller we are building part loaders for. I think the final design will be just 3 axis. X parallel to the lathe X and z parallel to the lathe z axis. The X will enter the lathe to load, unload or rotate the part 180 degrees with a servo a axis for the gripper. On my handheld I will have a Start and Hold button, Feed and Rapid Overide, MPG wheel with axis select and Icrement. One more item I will have is a page selector switch for my Mach3 pages Run Program, Manual Jog and Teach Page. I set it up so you can only run or MDI on the run page using Input 1 Safety. I also made a custom MDI on the Run Program screen that opens the MDITeach file and you type in the command. Then you push the Input Button and it loads the MDITeach file. Then it requires 2 Cycle Starts. I did not like how as soon as you hit the enter key It executed the command. I also did not like how hitting the start button on any Mach3 screen would start the loaded program. Any time you leave the Run Program screen and then go back it does a Stop then Rewind of the loaded Program. I'm trying to make it as safe and Fanuc like as I can.

I have 2 YouTube Videos 1 of my teach screen and 1 of my controller as of a few days ago. See links
https://youtu.be/8ZV0_QnuO6Q
https://youtu.be/OOBMNlk5QQU

Ah yes sorry, loads spinning around in my head at the moment and not reading properly.
Yes that is the great thing about Mach, you can configure most things to the way you want.

Screens look like they are working very well

Hood