Thank you for the pictures. @malkanicus is right, the most likely issue is that you have the slide the wrong way up. The focal length of a 40x microscope objective is very short, and the working distance from the lens to the object is much less than 1mm. This means that you need the sample on the same side as the objective, which is underneath. With the z-axis physically centred (the nut slot on the z-actuator inner column aligned with the slot in its casing) the top of the objective should be close to the slide, but not touching. In that position you should be fairly close to focus, although it may still take a bit of trial to find focus the first time.
Once you have a reasonably focused image the camera stage mapping should work.
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