I cannot quickly find a manual or catalog page that verified the wire color coding, so for now I'll presume it matches the standard color code.
I am guessing that the LED in the proximity sensor is causing enough leakage current into the PMDX-126's inputs that the PMDX-126 thinks is has PNP sensors connected and that they are active (trying to pull the input up to 24V). If you have a volt meter or DMM handy, you can verify this by measuring the voltage between the "Pin11" screw terminal and the "GND" terminal. If you see a voltage somewhere around 9 volts or higher (I don't remember the exact threshold) or higher with no metal present then that is the issue. You can also look at the LED on the PMDX-126 next to the "Pin11" terminal. If that is on (lit) all the time then leakage current is the issue.
Try connecting one of the sensors to the "Pin15" input terminal on the PMDX-126, and then change jumper JP5 to the "on" position. Configure one of the Home inputs in Mach3 to be assigned to pin 15, active low. With no metal present, the LED on the PMDX-126 at the "Pin15" terminal should be off and Mach3 should show the that home signal as in-active. With metal present then the LED at the "Pin15" terminal should be on Mach3 should show that the home input is active. Note that the LED in the sensor itself may remain lit all the time. That is OK as long as the PMDX-126 input
If the sensor works on the Pin15 input, you can either connect all of the prox sensors to pin 15 instead of pin 11 and see if the input still works, or you can get a 470 ohm, 1/4 watt or 1/8 watt resistor and connect it from the '"pin11" terminal to the "+5V" terminal on J12.
You can try powering the prox sensors from the "+12U" terminal on J12 of the PMDX-126. The PMDX-126 should be able to provide enough power to run the sensors (presuming you aren't powering anything else from the "+12U" or "+5V" on connectors J11 and J12). I don't know if that will make the inputs work, but it might be worth an experiment.
Bob