The error message message in your 3rd picture, and the settings in you 2nd picture show the reason for this. You have the minimum PWM duty cycle set to 40% (which is exactly what the error message says). Go back to the PMDX plug-in configuration dialog, on the spindle configuration tab, and change this.
But... there appears to be a bug in the PMDX config dialog. When the PMDX-407 is selected, you can't change the PWM duty cycle. So... temporarily select one of the other PWM outputs, change the minimum duty cycle to some lower value. Usually this is something like 5% or 10%, or maybe even 20% if you have a non-digitally-controlled spindle. Then re-select the PMDX-407 output.
