Arduino MEGA + Ethernet shield + CNC shield?

when I connect the Mega and the Motor shield, not all the pins are "covered" by the Motor shield, but can i still use them to connect to the driver and the motor?

No. The only pins that you can connect to are the ones on the motor shield. Connecting something to any other pin will NOT let the shield control that device.

The Arduino can control the other pins, but that wasn't what you asked.