The usual first-encounter problem with ER collets is failing to click them properly into place during installation. Jason’s diagram shows the collet and tightening ring are both removed from the chuck to do this. Stage A shows the collet goes in at an angle and pops into place. You can’t just drop the collet straight into the ring and have it click correctly into position when the ring is tightened in the chuck.
As Jason explains, removing is the reverse: the collet is popped out by tilting and pushing, as shown in Stage C.
Easy when you know how, but not obvious. Some do it intuitively. Had me confused for about 10 minutes before I twigged. Others have to ask.
Bonus hint. ER tightening rings come in two forms. The rings fitted with a ball-bearing are easier to tighten and undo: worth buying.
Dave