I basically finished the assembly, although there are still some hard points that needs to be solved. The pieces for jointing are square but I missed my measurements in some area by a couple of mm. Making bigger bores for the screws seemed to make it up for the accuracy and this is going the right way overall. 

However the Z-axis ready made I bought seems to have a bit of flex in the X direction. I'll see what's the consequence of that when milling and can fix it by attaching the bottom of the sub assembly to the frame with a custom bracket.

And I added a fan on top of the CNC Shield, self powered by the 5V from the board. This is plenty enough to cool those drivers which are regularly burning my fingers