I have a PM-25MV purchased in September 2019 and I have the exact same issue as described in the OP.
I have a z-axis DRO, but I have my z-axis locked when I engage the fine feed (I would imagine that everybody does this).
I found that I can’t use the quill DRO for precise cutting if I am to move the spindle both up and down. I can, however, manage it going in only one direction (which has always been going down while cutting deeper and deeper).
Reversing direction on the fine feed feels just like backlash, and the numeric value on the quill DRO does not change for, say, .025” even though I can see the handle moving and the cutting tool going up (or down).
Also, when I lock the quill, the value on the quill DRO will change by .001”.
Before reading this thread, I had figured that the worm gear had (considerable) backlash. I had thought the solution was just take up the lash and keep moving in one direction like you would on a handwheel on a mill table.