I didn't catch that I forgot to add support until it was fairly far so I decided to let it go and surprisingly it recovered and finished ok.
This is a good model, but I had to trim the openings using a hand saw because my Harbor Freight dial indicator is too large.
Unfortunately, I think the idea of using a dial indicator does not work well on the single Z lead screw model. The dial indicator (at least mine) is heavy enough to cause a droop on the right side of the X. Maybe I need to tighten the Z rollers?