Set Low Power Level or Enable Pin of stepper driver, so stepper does not get hot
The product page you gave has a link to the DRV8825 datasheet.

Reading this, it is clear that the enable pin(s) comlpetely disable the H-Bridge that drives the motor coils. This is low power mode. It'd doesn't mean low, but non-zero holding current. The driver only supports enabled and disabled.

If your steppers are getting hot, perhaps the current being supplied by the driver is too high. The maximum drive current is set by the current-sense resistors attached to the driver chip. These may not be easy to change. To decrease the maximum current, you increase the current-sense resistor.

The product page notes that the shield has the current set at 1.6A per coil.