Many years ago, when I bought my milling machine, I deliberately opted for the MT3 option on the basis that as my lathe headstock was also MT3, I could transfer tooling from one machine to the other.
As has been said, there is a problem in that MT3 finger collets are self-locking and may require a hit, hefty or otherwise, at the tailend of the mandrel to make them release. Now I do not like this because of the possibility of damage to the mandrel bearings, so when George McLatchie in MEW96 discussed his release system, I wasted no time in making my own. Unfortunately, I was not as fast in making a similar idea for the lathe, but I now have. (MEW 289 refers.)
Probably the main snag with these collets that I can see is that the requirement to use a drawbar both to pull them in tight and to hold them in situ means that they can only hold short lengths of material. On the other hand, I have found them very useful when milling in the lathe as they have eliminated the vibration I used to get when holding a cutter in one of the chucks.
Another problem, which hasn't really been a problem, is that they are only available in certain metric sizes, eg 15mm just isn't available. Furthermore, as I have a quantity of 1/4in freecutting mild steel rod, I find myself having to turn the rod down to 6mm before I can use it in the collett. Perhaps the (expensive) answer is to have both metric & imperial collets available.
Finally, I bought every metric collett I could find, some of which I have never used – a complete waste of money.
Peter G. Shaw