Steppers motors typically use some sort of spring washer to take up and axial play. You usually have to press on the shaft moderately hard to get it to move. I'm not sure what the stepper couplers on the Sherline are like but on the Taig you can manage to start compressing the spring washer when mounting the motor if the coupler is not properly adjusted. That will cause binding. It would also be that the spring washer is defective.
If you can swap the X and Y motors that would let you see if the problem followed the motor. If it does then you'll need to replace the motor.