update: I turned of key repeat in Windows and that did not help.
However I discovered something: it hapens when I do Continuous jog by pressing SHIFT+arrow key. If I let go of the SHIFT key first then let go of the arrow key, all is good. If I let go of the arrow key first and then the SHIFT key it results in the runaway axis problem. Is this a Windows keyboard setting or a Mach3 issue?