I would expect this to work.
Check the wiring to the motor, be sure to have one coil between A+and A- and the other coil between B+ and B-.
It's easy to check if you have the two wires of one coil. First leave all disconnected from each other. Next rotate the motor by hand. It should rotate almost free.
Now connect two wires to each other leaving the other two disconnected. If the motor rotates heavy by hand, you found a coil ( the two connected wires )
Next step, verify the step connection. If you have a oscilloscope, that's the easy way to verify if you have pulses on the step connection between Pul+ and Pul- This input is direction sensitive. the signal needs to have positive pulses on the Pul+.
If you don't have a oscilloscope, take a LED and a resistor of 330Ohm ( anything between 220 and 2200 Ohm will do ) connect these in series and put that between the Pul+ and Pul- output
If the LED is lighted, give a command to move the axis. The intensity should change ( be less ) while the move command is active.
If the LED is not lighted at the first connection, give a move command and see if it lights up.
If it still doesn't light up, reverse the connection and try again.
If you get a change in brightness of the LED between not moving and moving the axis, then you have a good working output and I would expect the DM860 to work when you connect the Pul+ and Pul-
Next step is verify the DIR, connecting the LED you should be able to switch it On ( one direction ) and Off ( the other direction )
Give it a try and let us know the results. Or make some pictures of your connections.