Z axis mill - reverse axis overshoot

I am building a mini mill and all is good, except the following.
After I have fully loaded the Z axis ( around 100kg, no counterweight ) I have noticed an overshoot at changing direction:
1) moving the axis for 1mm for several times in the same direction gives proper figures on the dial indicator (around 1mm)
2) changing  direction will give me 1.05 at first move in a consistent way, then it keeps 1mm for the following moves.
3) it does not matter if direction is up or down

It was ok before loading.
I am using open loop stepper NEMA42 22Nm (6A) and DM860A (set on 5.7A peak/4A rms), with ballscrew ( previous measurement showed 0 backlash).
If I add BACKLASH=-0.05 on the Z joint the final reading is 1mm but it goes to 1.05 and back ... kind of "negative" backlash

Any suggestion?
 

I am ashamed ... it seem the gibs were loose. I have tightened them and now is ok.
Funny but I realized that only after I've cranked up the motor current and everything was vibrating.
Yes, I'm planning some counterweight setup.
Thanks for your help!