I still have this voltage on both windings at the same time as soon as the power supply is switched on. Is this correct?
Yes.
I would have thought one winding at a time depending on the direction and only when the drive is calling for motion. Is this assumption correct?
No, not with steppers.
Taken from "step motor basics" from Gecko.....
In an ideal step motor, as speed approaches zero, its torque would approach infinity while at
infinite speed, torque would be zero.
In other words, as speed increases, torque decreases.
As speed decreases, torque increases.
You should have the most holding torque at zero speed.
The very fact that the motor locks up with you, says that it is 'most likely' wired and operating correctly. I am assuming you have never had the motors running. The most likely reason you are not getting movement, is something is configured wrong in "ports and pins" or some other settings inside mach. I would double check your settings, and watch the configuration videos here. We've all been where your at, if that makes you feel better.
Usually getting a hammer and smashing stuff makes you feel better.