Boyan, the EM hardware manual shows all three connection types (NPN, PNP, Differential) - http://leadshine.com/UploadFile/Down/EMhm_P.pdf

Andrew, for the step/dir signals, you want to stick with the signal ground (i.e. the one from the BOB), and not mix them with any of the power grounds.
The power grounds should be connected to the signal ground at some point, however you don't want to be using any ground wire that is carrying high currents (i.e. the stepper supply), as it risks problems with interference/noise.