You should connect the shield to GND on one end of the cable only! Otherwise you can get ground loop current flowing through the shield which makes it a source of interference instead of a shield. The sample connections on page 16 of the manual say to ground the shield on the receiver side, which is the DYN4. So I would say do not connect the shield to the PMDX-126.
Unless you can prove that the shield is NOT connected to the DB25 shell on the end that plugs in to the DYN4. Use an ohm meter to measure resistance from the shield to the metal DB25 shell, close to zero ohms means it is connected. Infinite or very large readings means no connection. In that case, there will be no shield connection to the DYN4 and you can connect the shield to the "PCgnd" terminal on the PMDX-126.
Regarding the PUL+/- and DIR+/- wiring, you have 2 options:
[edit 28 Oct 2016 - see also our FAQ on this:
http://faq.pmdx.com/content/3/11/en/how-should-i-connect-pul-pul_-dir-and-dir_-on-my-motor-drivers.html?highlight=pul]
(1) Tie the PUL+ and DIR+ together and connect to the "PC+5" terminal on the PMDX-126. Then connect the PUL- and DIR- to the step/dir pins on the PMDX-126. This corresponds to the "Open Collector (external power supply)" example in the DYN4 manual. If you do this you must configure Mach to have the step pulses "active low". The direction polarity will depend on how you have your motors wired. Pick a polarity and see if the motor moves the direction you expect. If not, change the DIR polarity.
(2) Tie the PUL- and DIR- together and connect to the "PCGnd" terminal on the PMDX-126. Then connect the PUL+ and DIR+ terminals to the step/dir terminals on the PMDX-126. This scheme is not shown in the DYN4 manual but should work. Configure Mach to have the step polarity "active high" (or "not active low"). The direction polarity is the same as the previous case - i.e. you just have to test it and see which setting is correct.
Bob
