I know this is a lame answer, but you should call your local mazak tech center. www.mazakusa.com should be able to locate the right office for your geography.
Some recent and current Mazaks have a few thermo couples around the machine that are feeding some complex algorythms to make the machine more accurate as parts of the machine are changing temperature.
go for the simple stuff first, but you may have a broken wire to a thermo couple to cause this alarm?
There is a possibility that a parameter can turn off this alarm until you can get the problem attended to.
thermo comp on Mazaks is rocket scientist domain.