I have a Warco VMC with a rise-and-fall knee, so the third axis is fixed to that. I don't use the Z axis anywhere near as much as X and Y, but for setting a cut depth for milling, that works for me. One of the factors that I would think about is whether or not there is a fine feed on the head that you can use to apply a cut. In general, you are probably not going to use the Z readout that much for drilling but will do for milling and that's where the head rather than quill movement would be used. I say that partly because the quill fit in the headstock on my machine is not that good and I prefer to keep it clamped for milling and use the knee (head in your case) to put on a cut.