I may have nailed the problem down?
Because I was getting the repeated bad results from the hardware I was using, I decided to change all the electronics again.
I used a new Arduino UNO, programmed it with the original GRBL 1.1h and then I tried again using the same CNC shield.
Same problem. So next I also changed the CNC shield for a new one, checked all my wiring very carefully and tried again.
Same problem.
I was starting to think maybe the is something wrong in the software, so I opened up Universal G-code Sender and tried that.
Straight away everything worked, I could home and travel in all directions without any problems.
So next I closed UGS and opened up LaserGRBL again, and tried again. Back to the same problem, so to me it is something that LaserGRBL is doing.