Closed loop stepper drives do exist but they are really an entirely different animal from a standard drive. My understanding of how they work is that the stepper motor is driven as a high pole-count BLDC motor through some magic known as "phase vector control" (don't ask me to explain, it's way above my pay grade!) so the lowly stepper motor actually becomes a true servo motor.
Only recently have they become affordable. Here are a couple of examples: http://www.automationtechnologiesinc.com/products-page/hybrid-servo-system/hybrid-servo-drive-kl-5080hhttp://www.evarobotics.com/
From all I've read they really are quite good, allowing the motor to run much cooler and smoother with greater resolution.
Having said that, there is nothing at all wrong with standard steppers if they are properly matched to the machine they are driving.
My CNC machine, which I built about 5 years ago, has been running happily and productively with no problems, sometimes for 8 hours at a stretch.
If you really want to improve the performance of your machine I would move away from the GRBL controller (which really is quite amazing since it runs on an Arduino) and step up to LinuxCNC which will give you all the capability you would ever need. It's free and open-source software which has traditionally required a computer but is now ported to the Beaglebone as well as other small single board computers making it an affordable alternative to GRBL.