Carl
Cant help you with the VFD really but as for the height sensor the alligator clip is put on the tool in the spindle. I think you may need a script to assign to the auto tool touch off button in Mach3 to be able to use it.
The spindle has to be operated manually from the control box. Most 6040 to my knowledge are not set to run from g-code, so you have to start and stop from the vfd itself as well as adjust the speed. There are a couple topics in this forum about making it work with wach3, but I have spent 40 plus hours trying to get mine to work and have been unsuccesful.
Hope that helps you some and hopefully someone smarter than me can help you further!!