Your machine may be able to travel from point A to point B at a 4000mm/min feedrate, but with short incremental raster moves will slow things down, unless your accelerations are set high. Are you adding the G64 (Constant Velocity) in the precode?
The PicConvert PWM frequency is set at 1Khz for the J-Tech Laser Driver if I remember correctly. What PWM frequency range does your driver except?
I have a 6W 450nm LD on our Shapeoko 2 and when using full laser power to raster engrave photos, have to run at max 5000mm/min (confirmed) feedrate or the laser will start cutting into Poplar or Birch Ply. MDF burns even easier.
It probably does not make a difference, but we have our PicConvert board setup in Mach3 to work with A axis depth commands (Imperial 0. to -.0255) instead of retract commands. Is your PicConvert board set with 393.7 steps per in Motor Tuning for Metric units? If so, your full range without losing steps/position should be no more then 0 to .6477mm. What is your step & dir pulse set at? Ours is set at 3, or it will lose position.
Are you jogging the PicConvert board to 0v and zeroing your laser axis after powering it up each time?