I have two 1/32" bit but honestly, have never tried to use them. Just look way too frail but hey, that’s just me!
I will say if using a bit that small there is no way a wrong setting will cause it to lose steps and run off. My best guess is either something is too loose or too tight.
Are all the belts tight? To be certain there are methods using a fish or small baggage scale to measure the tautness. A search should yield the process.
If that’s OK then with all the power off, try moving it by hand on both the x and y axis. There should be a little resistance but not a lot. If it is stiff V-wheels somewhere are too tight. Adjust accordingly.
BTW - If someone screams “DON’T MOVE IT BY HAND” because you will fry the controller - please ignore them. I guess theoretically this might be a possibility but I have yet to see a documented case. I and many others do it all the time with no ill effects. As a precaution, don’t get over aggressive and shove it around fast. But my experience of doing to a hundred plus times has shown slow movement will not cause a problem.