The PMDX-126 is spec'd to source/sink 16mA per output signal. It looks like the Leadshine drives spec input current from something like 7ma (min) to 16mA (max). Since you've been running the machine (some) with the PMD-126 driving two Leadshine drivers from a single pair of outputs, obviously the 16mA requirement isn't happening at the temperatures you are running.
But... it would be better to run each Leadshine from its own set of step/dir signals. First off, this guarantees that the PMDX-126 will always be able to drive the Leadshine inputs. More importantly, it allows you the OPTION of having Mach4/ESS do gantry squaring. That is if the ESS supports that under Mach4 - I don't know. But if it doesn't support it now, it should support it some time in the future. For now you CAN configure Mach4 for "slaved" axis, which means multiple motors driving the same axis, and use a single home switch for both motors.
Curiosity, since we are on the PMDX forums - why did you choose the ESS instead of one of the PMDX SmartBOB boards?