Hey UltraPeepi,
I think your question is mainly focused on the open-loop vs. closed-loop stepper.
Besides this difference when buying an Elite model, the Masso Controller gives you an experience much more close to industrial CNCs (read the Masso documentation to see all the capabilities and options), while the Buildbotics.com Controller is an admirable software project of the author of CAMotics.org, and the Onefinity Standard Series Controller that is a hardware and software fork of it, lacks a few capabilities, e.g. adjustable feedrate during a g-code program running. It however implemented largely the entire G-code standard so you can run any g-code program on it, and please do not to forget, the Onefinity Controller is available at a fantastic price for a CNC Controller that works.
Now regarding open vs. closed loop, what running open-loop steppers mean, is what I have here in my lab: A Onefinity Controller with no machine connected to it, no stepper motors. But I can run the g-code programs, and the machine does not even realize the steppers aren’t there. It runs and runs and the movements are correctly reflected on the position, absolute position and offsets columns of the table on the CONTROL page. Even stall homing works, but of course it always “thinks” after a short motor run that it is at home and sets the machine coordinates to zero as you expect. If you know how stall homing works, it’s clear that it works without steppers attached. What does not work, is touch probing, but if I connect the touch probe and in a certain moment put the magnet end and the alumium probe together, you have successfully probed (some value). It is even possible to do manual workpiece probing, since you can use G-code commands in the command entry field of the MDI tab to “move” the carriages somewhere, and then enter G92 to have a workpiece zero correctly set (even if the workpiece doesn’t exist).
So now let’s think what does that mean if you have steppers and an entire machine connected: Imagine a situation where either
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you have set a feedrate that, considering the bit and the material, is too high for the bit and/or the machine to cope with it, and you loose steps,
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you have heavy EMI in your workshop, e.g. because you have a VFD not enclosed in an earthed control cabinet or you terminated the spindle cable wrongly, and you loose steps, or
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your stepper cables have inner invisible cable breaks or just the only tin-plated Molex plugs which you find on the Onefinity may have a bad contact, what can happen especially if your machine has no serious cable management and no strain relief, so you loose steps,
in all these cases, you may loose steps, but the machine is not able to detect it. So after program run, in the best case, some dimensions of your workpiece do not fully correspond to what the program said, and in the worst case it milled totally wrong paths into your workpiece and ruined it (by the way, since you said your investment is the machine, not the workpiece – when building stringed musical instruments, especially large ones like celli etc. you can easily work on workpieces in a week that cost more than your machine).
If you now compare this to closed-loop steppers, the system will detect the above conditions, however not forcibly which of the three causes mentioned is present, it still can be hard to diagnose this, and the machine will have stopped the program. Only when the motor is a few steps behind, it will have a positive effect, where the driver will try to keep up with the lost steps and “save” the workpiece. But in many cases it will simply stop the machine, but in comparison to an open-loop stepper system, you avoid that the machine proceeds with the work, so the damage on the workpiece is limited.
Wow, with an open-loop stepper system, that’s the Makita burning condition. You set your workshop in fire 
If you have closed-loop steppers, it depends. If you use a spindle possibly the VFD will detect mechanical overload and trigger the stopping of the program. But the moment when the ALARM condition of the closed-loop driver will be triggered depends on whether the carriage is blocked or if it still can move.
It will simply stop the program at the point where it was and the Emergency stop state will be active. All motors are stopped. If the VFD is wired correctly with a safety circuit, the spindle is set to STO (safe torque off).
The closed loop stepper driver has an output that is the ALARM output. If it is triggered (the conditions were referred in a previous post), the above actions will be the result if all is set correctly: The program and all motors are stopped. Whether your ball screws or your machine is damaged then, can unfortunately not be detected by your machine, but generally as a CNC operator, you can damage or even destroy your machine at any time.
However you have to know that the vast majority of CNC machines out there, hobbyist and professional, use open-loop stepper motors. This is because the stepper motor is a very reliable and well-researched piece of technology. It is easy to make him reliably do what you expect from it because it has mechanical steps implemented as hardware. As a CNC designer, you can know very well what the limits of your motors are and dimensionate them accordingly. So to use it successfully and without errors, it is sufficient to know what the limits of your machine are.