A guy I have been chatting with lately thought the same as you, he had holding torque and thought all wiring was correct.
What he found out was that he wired the parallel port as male, not female.
I would suggest check it all again, looking at everything. Do not assume anything.
In Mach3, did you set the outputs?
Under the diagnostics in Mach, are the X/Y/Z outputs red, if so, change the state under the motor config, so that they go out.
I had issues like you when i started out. you just have to keep at it, ask questions and trace everything out. Try using 1 unit only, this will reduce the chance of blowing all the units up at once