"lost steps", what is it and how do you know you lost 'em?

I think I know what the term "lost steps" is describing, but how do
you know that you lost them? Is it a stepper motor thing only? I'm
putting together a Taig mill with servo's, Gecko 320's (Camtronics
kit, if it matters, but I don't think it does) and demoing Mach1 (I
don't think that matters either, could be any step and dir
controller program). I've read about servos and the encoders sending
feedback "back to the computer", but in this sort of setup the
encoder feedback isn't going "back to the computer", is it?

The control program is feeding step and dir to the drivers. Are the
drivers making sure that no steps are lost? Is this a true "closed
loop" system, or just a way to use a step and dir controller program
with servo motors, but still with the possible problem of lost steps?

Monte (electronics almost done, waiting for mill, reading too much)