The frequency compensation is shown in your schematic as the series capacitor and resistor connected between the servo amplifier output and servo amplifier input. That network controls the gain roll-off of the servo amplifier so that gain of the entire loop is below 1 before the external phase delay reaches 90 degrees. Lowering the gain within the feedback loop will definitely help, but is not ideal.
For simple testing, perturb the loop and monitor the output of the servo amplifier for settling time and lack of oscillation. I usually attach a slow square wave current source (function generator output through a resistor and capacitor) at the input to the amplifier, but there are many ways.
Are you saying that the servo amplifier by itself is oscillating when not connected to anything?