Same parts here. I found that your focus when assembling the Z ball screw should be totally on getting the screw straight and parallel - don't worry about the various "pieces" aligning with other pieces - just get the screw straight and parallel and all will fall in. Loosen the attachment bolts on the nut mount and the motor mount so the mounts will move with a LITTLE force - run the head up and down and "help" align the blocks while watching the screw travel. Eventually, you will get a "feel" for how things interact and should be able to get things aligned. This part took me the longest to get aligned! My Grizzly setup is a "mongrel" in that I first bought a Large Table and adapted it to CNC (left my mill alone so I could make mods to the Large table as I adapted it), then replaced the standard table once the CNC was working 100%. I am now about 85-90% done and so far I am very pleased. I decided to go the LinuxCNC route, so I am now in the process of wrapping my head around that! So far, also pleased with that part too. All around, it has been a real fun project. You need to be very patient!
Good luck.