The Shapeoko is an open CNC system, it sends a signal to Go There, and no signal to confirm it is there (open), a closed system would have a second system to confirm it is there.
The motor on your Z pushes down (or maintains position) with 18 pounds of magnetic force. If you push the machine too hard, the motor will skip (or slip) and will result in a change to the Z position.
So IF the set screw is on the motor flat, and all is tight, it means you are pushing the Z too hard.
The fix? Less feed, sharper cutter, etc…
Does this help?