I think with some mares (and I'm not a breeder, so hope that someone that does breed will reply to this as well) that they just burn themselves up making milk regardless. Not all mares, of course. Some can be quite fat and lactating.
But the unlucky few that just can't seem to eat enough to gain weight until the foal is off, I think may be part of that concept of weanng early to keep them from dragging down the mare's condition for the winter (or if she's bred back, etc). I would maybe see about upping her feed a tad more to keep up with calorie demands and see if that helps, adding some extra fat to her diet. I don't remember what Strategy's label reads like, a the moment, so maybe I shouldn't have chimed in.
With her having free access to forage, and still being skinny, I would up her concentrates .Esp when you are going to be conditioning her for showing. Exercise might help fill in the hollows a little with muscle tone. Being pregnant sort of relaxes things that weren't before, and not being ridden, they loose a little tone in the back and hip area.That's about all you can do until that foal comes off her, but I'd leave the baby as long as you can for his sake.
Oh, and starting to creep feed the foal will help take some of his demands off her...