To be honest I had a feeling you'd be back when it was recommended you ground shields at both ends.!! Even thou changing this doesn't help it's still not something I'd suggest you do other than maybe on the VFD.

Now back to your problem can you give more details of your setup.
What you using to control it with Parallel port or some other motion control.
What Control software and If Mach3 what Kernal speed.
What's MicroStep on drives and Motor tuning settings for each axis.
What PSU voltage
What Make of BOB.

Things to check now.
Check couplers to motors are tight. Put a mark on shaft/coupler so you can see if they move.
Check Accel and Steps per is set same for both axis.

If this is losing or gaining steps consistantly at same time or distance then it won't be noise causing the problem, it will be either something loose or setup wrong.

If using parallel port then Try a differant Parallel port cable is you have one. This is first thing I would try as matter of course.