Can't see any obvious troubles from the settings. Need to know the Accel settings as that could cause this more than anything else.

The other thing that could cause this is how you have connected the phases of steppers to the drives.? The steppers have A+ A- B+ B- and the drives have matching A+ A- B+ B-. If you have wired them opposite way they will still work but it can cause you a Step to drop on every direction change if the pulse edge is on wrong side to drives. So it's important you wire them right way round.

This can easily be seen by marking each motor shaft or there start position then running some short directional changing G-code moves and see if marks return to same spot when finished. Chances are one won't but other will if you have one wired opposite to other.

Regards the sheilding then connect them just at the control box end on all of them. You only really need sheilded wiring on the Signal cables.