Guessed as much 
Just have to go for the CAD option I guess.
I have really enjoyed all the replies to this issue. Here I thought I was the only one with this problem. 
The problem is the M3 has a slight delay to it as it uses DospinCW() to start the spindle. There IS an alternative. You change teh M3 code to do a direct ouputstart
ActivateSignal(output1) IF your M3 is tied to output1 , look in the spindle section for the output# that is used with M3.
I would also change teh M5 to DeactivateSignal(output1) as well.
You also can try starting on the fly with all delays turned off including the THC delay so as soon as it see the arc it starts to move. Pierce as LOW as possible the Z move to cut height adds delay to table motion.
Also try reseting the Mach delay to MS instead of Sec.
I have done some nice pierces on the fly I will just have to look and see exactly how I did it back then. The pierce and line looked the same. Now this is on THIN guage stock 18ga.
(
TP
OK I had to stop back by the shop to check on that. The way I do it is put a switch across the ARC OK input signal going into Mach3. That way it sees that it is ready to go as soon as the M3 signal is given. It will strike the arc at the same time start moving. Kinda like a gouge start. But it makes a very clean start of the line. NOW this only works on thin Guage material where you have a lot more POWER than you have material(;-).
I just added a Relay and switch it with a Mcode for ease of use.
( TP
Interesting, is that relay fitted as well as having the M3 set to ActivateSignal etc???
Yes that is correct. Relay fitted AND acitvateSignal.
( TP
Well I’ve changed the macro codes and find the best result is by piercing at cut height so no delay for z moves, also turning off the torch 1.5mm before the end of cut when doing shapes gets rid of any divots.
Works pretty well.