Thanks all for responses.
The prize (Which is just my sincere thanks) goes to John – with the measurement setup adjusted as described, error is now minimal. I am really grateful for this advice, as I was worried I'd have to look at sending the mill back.
Neil – your suggestion was also very helpful for sanity checking (I was already sweeping for tram), as I mounted the bar as suggested, moved up to the square, then used feeler gauge to check no significant y-axis difference with quill up or down
Jason, quill lock does move things around a bit, but as above there was no real error in the first place, just my bad setup.
George – the error I thought I was seeing was horizontal movement of the spindle in the y-axis direction when quill (z-axis) moved.
Raymond – Thanks. I know both head and column are out of square and will need painful adjustment. Now I am confident there isn't a non adjustable problem with the spindle, I can probably bring myself to do it. Can you describe a bit how you did the epoxying please ?
Tim – the Lux already has 3 bolts, at both sides and bottom. The weight of the head is certainly an issue – especially as it has a second motor for head elevation. Whole beast is 278kg, and I dread to think how much is the head.
Thanks again everyone.
Dan