Hey cvcolomb,
there can be many causes for loosing steps. EMI is one of them. I noticed the PwnCNC VFD housing is neither made of metal nor is the VFD enclosed into a steel control cabinet, despite the fact that a VFD is a device intended to be installed in a VFD control cabinet (which serves as faraday cage). Also all Onefinity cables are not shielded. In industry, all motor and signal cables of a CNC machine are shielded and grounded to prevent EMI.
Have you searched for Z plunge issue in this forum?