The answer is yes. Coincidentally, I'm getting close to finishing a retrofitted Denford ORAC CNC lathe using Mach3 to control 2 stepper motors via parallel port, break-out-board, etc. I will be doing some threading tests later this week. Hopefully it will work as well as the various youtube videos I've seen.
My lathe has an optical sensor & a single slot disc on the spindle to synch the Z axis. Mach will only work with a single slot so a reasonably steady spindle speed is required. I have a Baldor 3/4 hp dc motor on mine and just finished installing a tach-generator on the motor to get as steady a speed as possible. The KBCC-125R speed control I'm using spec's a 1% speed variation over its 50:1 speed range. The crude tests I've done sure look good so far.
Mach3 uses the spindle speed input to calculate & drive the Z axis automagically in synch. It varies the Z speed to keep it synched as the load/speed on the spindle changes. I've only done a few dry runs of threading so far but you can hear the Z stepper slow down & speed up as I grab the chuck and slow it down artificially by hand. I've got some tooling issues to work on and hopefully will be cutting threads soon.