Is there a reason the keyboard buttons will only jog continuous and not incremental?

Should it be kept this way?

If not, is there a way to make them also do incremental when you have that selected?

To jog incrementally using the keyboard hold down the Ctrl key. This even works when continuous mode is selected in Mach

That is good to know. Thank you.

Is there a specific reason it was chosen that the keyboard does not or should not follow the onscreen selection of incremental vs continuous?

Is there a specific reason it was chosen that the keyboard does not or should not follow the onscreen selection of incremental vs continuous?
Absolutely. By default the on screen buttons do not change the way any external input operates. This is intentional. I fought it tooth and nail myself for a while but have since realized it is better this way. It allows you to have multiple sources of input, each doing what they say they are going to do. For example, keyboard, pendent and on screen buttons. Each is independent from the others. Say you use Cont. Jog with the buttons and usually only do incremental with the pendant. Having them work independently when you go from screen to pendent you don't have to make sure the other is in the same mode. Also you do not have to worry with who is master and who is slave. This is one of the small things Mach4 does differently from Mach3 that adds to Mach4's incredible flexibility. With proper hardware and scripting you could customize 4 so that any jog input changes the mode for all jog inputs but I have never heard of anyone wanting to after trying it like it is. 

Sounds good. Based on posts here, I will leave it as it is and avoid tying anything together.
If I can remember that using the CTRL key works it should work fine....