Change the line setting (to the left of the baud rate setting) to Both NL & CR.
Then send some GCODE (input box in the top): G00 X200 (move X axis motor 200 steps, which is one rotation). The R84 and R85 responses should be given. You can move any axis motor, or even several at a time: G00 X200 Y100 Z-300. These are absolute movements, so return to zero with G00 X0 Y0 Z0 before trying again.