When I attach the dw660 onto the tool mount the z axis slips down with the weight. Pen test was fine. Any advise?
It happens, just make sure you stop somewhere the endmill has room to settle.
When I was initially mounting the z axis I noticed that the lead screw turns down the nut with gravity alone. Is it suppose to do that?
Also, when the steppers are powered, you won’t have that problem anymore.
It is happening when the steppers are powered unfortunately 
Okay, now we need more info. What board, how’s it wired, which firmware, and pictures would be helpful.