You can take a marker and make a tick on the Z shaft on the top of the Z motor. This will help you see if the motor shaft is turning when it is slipping. If it is, then it is skipped steps (and I would be surprised). If it isn’t, then you have to just keep looking down the line until you find what isn’t sticking. I still suspect the coupler, so maybe make a mark on it so if it moves at all, the marks won’t line up anymore.
Milling like this is like a million little hammer blows. So even though everything is strong, it may move a very small amount with each little blow.