With a terrible hiccup in the 12kHz signal, I have to test the the frequency with:

If (Counter > 1) then

So as long as the PIC counts anything over a 1kHz, the relay works properly. What a crappy 12kHz signal from Mach3. I hope this doesn't reflect the quality of their stepper motor control. I guess I'll find out.

Hopefully, they the explanation is that they had to compromise the 12kHz signal for better control over the stepper motor signals.