The drill chuck is unlikely to hold work as concentric as you obviously wish. So DON’T use it to check alignments or concentricity.
Would feel inclined to tighten the clean tapers, internal and external – (The coating of “blue” might even cause eccentricity, so don’t chance it, clean it off) and clock off the internal taper for the ER collets.
If you are micron chasing, make sure that your measuring set up is absolutely rigid, and the clock is consistently repeatable. If this is not the case, you could easily get a different reading each time.
Your readings might be affected by ANY play in the bearings, or flexibility in the spindle set up.
The readings will not be ABSOLUTE, unless you have had the machine and measuring equipment soaking for at least 24 hours in a temperature controlled environment
In ordinary conditions, just be happy to get within 0.0005″ (Unless your ambition is to be a NASA subcontractor)
Howard