Protoneer updated their CNC shield boards, this is causing many throubles for some people.
The newer boards has some changes to be fully compatible with GRBL v0.9+ versions.
Up today all my boards are v3.0, so i din't notice this until an user, who was pulling his hair, send me a wiring picture for checking. I see some differences on his board, labeled as v3.5, so mistake broken after read the Protoneer page:
Since CNC shield v3.1+ boards, the PCB has been updated. One of the main news is the Z EndStop and SpnEn pins, they has been re-routed and swaped on the PCB, this mean they are now correctly labered for using with GRBL v0.9+ like 3dpBurner. So if your board version is v3.1 or higher connect the PWM wire to SpnEn pin instead to Z+ pin as on previous CNC shield v3.0 boards.