I looked at the manual as well and it doesn't appear to have the ability to set the z axis coordinate when in the SDM mode. Have you tried both methods for entering coordinates?
If no luck, I would contact PM. IMO, this is a serious deficiency. More than likely a software update, if available, could enable that function.
Failing that, you could possibly replace the display with one from a different manufacturer as the scales seem to be common to a number of brands.
There may be a work around. It is based on the fact that a change in the ABS coordinates will change all the SDM coordinates. If you are using a tool setter, physically make contact with the tool setter using whatever reference you wish and set your ABS zero. Now move to your work surface zero point and set zero in for all the SDM points you intend to use.
If you now load a tool and go back to the tool set position and physically zero it, the reading will be your offset for that tool. If you zero the ABS z axis, you will have shifted the all the SDM z coordinates as well. Go to the SDM point for that tool and it will be correctly compensated for your work. Should you require more than one SDM point for that tool just designate them.
You will still have to record the values for setting the offsets but this isn't too difficult. With the recorded value in front of you, move the z position to that value and zero the axis, eliminating the need to enter number from the keypad and possible errors due to mis-entry.
You will like the ER collet system. I bought it with my Tormach CNC in 2011 and quickly adapted it to my mill/drill as well.
