Man, I really appreciate all of the advice from everyone. Let me catch you up.
First, when running the trial loop the amount "off" was pretty consistent. Increasing the number of loops increases the amount "off".
GaryB, I am not using a counterbalance, if anything I would expect my z to drift downward due to the weight.
So...up and early this morning. I completely dismantled the z and checked everything, reassemble and it's smooth as a baby's bottom and very easy to move freehanded. I did change the microstepping to 1/4 and BINGO...spot on! I ran the loop a few times with perfect results. I then enabled all axis' and ran the photocarve image. Great news, it was able to maintain it's depth.
NOW for the bad. My x and y are now stuttering and loosing steps. You can hear it and obviously see it. They are just fine when jogging around. In fact, they sound great. I decided to change the x and y over to 1/4 microstepping as well but this did not help. Before, these ran very smooth. I've been doing this all morning, trying various settings. This machine is on the verge of greatness. Any thoughts now?