Looking at the help file for Generate Points Along Line, it does not state under the environment settings that it honours Z values, may be one of the ESRI development team could improve that aspect of the tool, create points that also have MZ values when the polyline has MZ values?
I'm not aware of any tool that can extract Z values from a polylineZ. May be there is?
I would probably use a combination of tools, something like vertices to points, then Add Z Information (3D Analyst)
and then transfer the Z values with may be spatial join? But are you assuming a linear change in Z values along your line?