Hey Sean, hey all,
I am not sure for your country, but where I live, when you assemble and operate this CNC machine, you are responsible for observing the safety regulations, especially those concerning grounding, as grounding can be vital. The machine comes grounded only at the controller, but the grounding of the rest of the machine must be made by the assembler and operator. This means each moving part must be grounded individually and all ground wires must be brought together in one point. I have described how to do this here and here. See also note on grounding difference Makita router/spindle.
So if I have spots where I get a shock, I would first make sure the machine is properly grounded. That is what I would do first. And then I would see if I still get a shock.
If you have a dust collector and its parts are plastic, you may still get a shock even with a perfectly grounded machine. This is because moving air in a plastic hose are both non-conductors and create friction, thus creating static electricity. This static electricity can be unpleasant if it is discharged over your body, but it is not dangerous because it collapses at the moment of discharge, and it cannot start a fire.
Check out the video of John McGrath I linked above, he is an electrician. He also tells the solution if you get a shock on your dust extraction hose: Either you upgrade to metal tubing, or you can wrap aluminum foil around the spot where you get the shock. However, this will not ground the PVC pipe, the wood dust inside, or the air, because all of these can never be grounded. But you can make the spot you touch free of static electricity with the aluminum foil, and that’s basically what you want. And it seems this is what you have made since it works for the static electricity spot.
However I would check if the rest of the machine is correctly grounded anyway 
(=the moving metal parts)