Cnc 3040 z ball screw

[routercnc]

If it is a standard ballscrew I can't see how a ball bearing could escape unless the plastic return guide has broken. Wonder if the balls have jammed inside and pushed it out.

If you can do as Lee suggests and remove the ballscrew it will help identify it.
When laid out in the bench measure the diameter of the screw and then measure the pitch (distance between peaks or troughs). Also measure the diameter of the ball bearings (micrometer ideally) and take a picture of everything including the ball nut.

From the picture you have taken it does not look like the usual Chinese ballnut