If you want concentricity, use a 4 jaw chuck and clock the work. Collets were intended for repetition work, so a bit expensive to use for holding one off jobs. Likely to take longer to change the collets than to adjust the jaws on a 3 jaw, but possibly not quite as accurate as clocking in a 4 jaw, (although quicker changing workpieces)
Depends whether you are pursuing a hobby or are time pressured, as if on piecework.
A complete ER40 set up, will cost more than a 4 jaw chuck, and unless flange mounted, will not allow work to pass through the Mandrel.
Depends on what you intend to do, and how much you are prepared to spend.
Howard