You wont see pulses for direction changes but you should see a deflection from 0V to 5V and vice versa when you change direction back and forth. For the Step you should see pulses, the faster you move the axis the more pulses you should see, ie the frequency of them will increase with axis speed.
What voltage scale do you have your scope on? if your probe is a 1:1 then yyou should have your scope on 5V and if your probe is 10:1 it should e on 0.5v range. You will then just need to play around with the timebase to get it right, try the timebase at 0.1 and work from there.
Hood