I hope you find an answer (unfortunately I don't have one for you.)
A common use case for this would be if you're using multiple drills in one chuck in a cycle.
One workaround, depending on how much accuracy you need and your holder type is to loosely put the tool in the holder and zero the machine (work coordinates) on top of the stock before tightening the holder.
I think there are macro workarounds as well, where the macro will save the Z offset coordinate to a variable when you zero the tool, then recall that Z offset when you switch to the next tool.