backlash testing

hey guys
I have some backlash compensation through CNCPro but have figured out
that I really don't know what is the best way to figure it out. The
way I did before was to out a dial indicator in the vise and that on
the mill. I then put the point of the indicator against the spindle
and moved my axis back and forth a few mm and then checked to see if
it returned back to "0." Well while playing around last night I
noticed that no matter what compensation I put into CNCPro the dial
indicator for the most part comes right back to 0. For example I have
tried .01 to 1 and what I have found out (using 1 as example) is that
the machine initally compensates 1 then moves the few mm then
compensates 1 again (this inturn makes it as no compensation was
made) back to 0. I have tried running the axis back and forth 5 time
and it returns back to 0 on the indicator. IS this right??? Do I need
to test for backlash compensation by making a circle? Is it possible
for the machine to have no backlash?? (Sherline 5410 mill). Kinda
confused here. any help.
thanks as always!
tauseef