When you want to cut all the way through your material it is a good idea to zero your bit to the spoil board surface first before placing the material. Next using your control software raise the z axis up to the material thickness you programmed. Then reset your z axis to zero. This will ensure that you cut through the material and not into your table or spoil board. Material thickness is not always what it is supposed to be and many materials can be warped so zeroing to the surface of the material can be misleading and frustrating when you cut too deep or not all the way through.
If you are engraving or pocketing or cutting dados or rabbets etc. then you need to zero the z axis top the top of the material being cut.