If you have a home switch/sensor, I do it this way.
Home the axis, then uncheck Auto Zero in the Homing dialog. Rapid jog the axis all through it's available area several times (or run a file with many rapids) then rehome the machine. It will go to the same position in relation to the switch and the DRO will show any deviation from the original 0 which will indicate any lost steps.
An axis can lose steps in one direction only due to a tapered gib creating more resistance (wedging) in one direction than the other. I've seen this on some of the lower quality dovetail type machine slides.