Michael, did you by any chance measure the runout anywhere else on the body of the collet holder while mounted on the lathe spindle? Another question, how loose are the threads on the spindle in the lathe compared to the threads on the other spindle you have? If you have a set of V blocks could you run the collet holder on to the other spindle and check the runout then with that setup. Would you be able to check the shoulder of the spindle on the lathe where the chuck and the collet holder butt up to, indicator parallel to the spindle to see if shoulder is even around the spindle?
A few thoughts, maybe an answer or 2, or a total “oh Krapp”.