Should I take the sense wire and connect it elsewhere? Directly to the battery? Seems to me that it is sensing the same voltage , or close to it on the panel.
The voltage while running will only be the same if there was no resistance to flow. If the panel is connected near the battery, that would provide the tightest regulation of the battery charging and those items on the new fuse panel.
If you set it up off the alternator as Redfish describes he did for his relay panel, then run the sense wire to a junction electrically closer to the battery or at least closer to the key switch.
I'm not familiar with Denso wiring details. If the alternator has an internal field connection (as the GM alternators with internal regulators do) then ignition connection may need a resistor in it. On the Delco alternators, if there is no resistor the internal field supply will feed the ignition when the key is turned off. Engine keeps running.
Other than that, connecting the new box to the alternator output is a simple solution.