Thanks for the verification @Lindsey_Robbins!
While it’s confusing, the more I look at it I’m thinking this is a feature rather than a bug.
If your goal is to simply deform your existing geometry, you needn’t enable the “mode” button. While the Mode button toggles how that map is displayed when applied to the mesh, it doesn’t affect how that mesh is deformed when the “ApplyDispMap” is pressed. Pressed or unpressed, the actual mesh geometry will deform the same way, even in bump mode, at whatever the active subdivision level is.
What toggling on the Mode button does is switch off Quick Edit mode, which allows Zbrush to display the surface with a virtual subdivision and smoothing effect (This effect can be adjusted in Tool > Display Properties). Applying the Disp map to the geometry with this mode is active applies it with that smoothing active, so Quick edit mode needs to be disabled to maintain that look.
Since this tanks performance and disables sculpting, this would generally be used as a render time effect. You can probably achieve the same quality of displacement by simply subdividing your mesh further, which may be preferable in many cases.
So just disable the mode button prior to applying your displacement to the geometry to avoid the QuickEdit thing. If you want the look of the displacement you see with the “Mode” button pressed in your actual geometry, you can subdivide your mesh further.