You should see changes on the direction pins. I just checked my breakout board, and the direction pins change state when direction is reversed...and they stay at that level until another direction change.
You won't see the step signals with a multimeter, though. They are much too narrow. You'd need an oscilloscope for that.
FWIW, I'd guess your Parallel Port I/O address is not set correctly if everything else is working. It might be wise to review the installation section of the manual and the installation video and play around with your Parallel Port description in the config tab.
Hang in there...it took me quite a while to get my Mach I/O running correctly...and I'm a long-time Computer Design EE in my day job! There are a large number of factors involved...and sometimes a bit of guesswork. I found the manual and email from Art Fenerty extremely helpful.
Getting two very simple pieces of equipment to talk to each other can often be very trying. There's an old EE saying about Serial COM port hookups, "It always seems to take three hours to hook up three wires!"
Good Luck!