You are unlikely to be screwcutting at 1,000 rpm (The thread on the leadscrew will be in use anyway.)
The keyway in the Leadscrew will be used to power the saddle for power feed, either for turning, or if the machine has the facilkity for Power Cross Feed.
Again, although the chuck may be rotating at 1,000 rpm, the Leadscrew will not, even with a coarse feed rate. You would be unlikely to be feeding 3mm / rev at 1,000 rpm. The Saddle would cover the length of the bed in a few seconds!
Pure guess work, but IF the Leadscrew has a 3 mm pitch, for a finishing cut you are likely to be looking for a feed of less than 0.1mm per rev, so the Leadscrew will be rotating far slower, about 33 rpm so the “thump” is likely to be less pronounced. (Might be a burr, running the length of the keyway; which can be removed with a diamond file. Have a look!)
For a fine feed, you will need to set the change gears to give a ratio of about 30:1, so will need a compound train. When setting the meshes, start at the Leadscew gear and run a piece of paper through the mesh to get a little backlash. Having done that, you can swing the banjo to set a similar mesh between the large compound gear on the stud, and the pinion on the Spindle.
Does the surface finish seem to be good, on a fine feed, for finishing? This where it will matter, and a finishing cut might be only 0.025 mm deep or less, with a feed of 0.1 mm per rev.
Effectively, you would be producing a helix, 0.025 deep with a pitch of 0.1 mm!
Suck it and se; you may be pleasantly surprised (Assumes a sharp tool set on centre height, possibly with a minute nose radius.) Carbide tools may not be as amenable as HSS for shallow cuts and fine feeds, since their raison d’etre is to remove metal quickly, although they cam pleasantly surprise.
Howard fat fingers strike again!