I haven't used the conversational side of a Hurco control for years, but here's what I know about it.
This from version 8.x Winmax (~2010-2012 machines). Later software versions added more probing functionality like the possibility of probing NC work offsets inside conversational probing and such. Version 8 that I used could only save to the default NC work offset from a conversational probing block. Workaround to that was to use basic macro programming in your NC program to transfer the G54 offsets to whichever offset you were using.
Probing can absolutely be done in program. You can do it either with conversational probing inside a conversational program, NC probing in an NC block inside a conversational program, conversational probing with an NC program by calling the NC program from an NC block in a conversational program, or NC probing directly inside an NC program. These all assume you have the NC Merge option (IIRC the name) but that's usually on by default IME.
Leads (and any other cutting parameters that are not controlled at the block level) can be changed mid-conversational program with a Parameters block.
In the old-old Hurco controls cut direction and offset direction were specified in the first section of a Milling block. I didn't ever use the conversational enough on the Winmax to imprint it on my memory, but I am pretty certain it's just the same.
I am 90% sure you can control the stepover of a facing pass, but it's been too long and I can't remember for sure.
Hurco conversational is as good as it gets, if conversational is your thing. It is not for me. However, the Hurco control is also as good as it gets for operator friendliness regardless of how you use it. It's not the most high performance control on the market, but it's good enough in that department to not matter to most users.
Beyond the control, which you pay a premium for, the iron is acceptable, depending on the machine. VMX machines are a huge step up from the VM machines in terms of weight and cutting performance. They are all Taiwanese machines with lipstick on, and you can get the same with a Fanuc control for less money.
Nothing about them is made in the USA, except maybe the software.