To bore the collets, using a R0.2 coated carbide bore bar, at 0.03mm/rev to max 0.05mm per rev and 0.1mm cut depth 0.2mm diameter , for finish passes can use cut depth of 0.03mm 0.06mm diameter and 0.03mm per rev. No more than 800 rpm with coolant or 500rpm dry. The Iscar bore bars will cut 60Rc steel, and I think the hard collets are no more than 52Rc.
I mark the radial orientation of the collet in the holder being used. For some, I have added a slot on the outer diameter to align with a 2.5mm pin that is placed into the body on the 8 deg taper section.
Make sure that the thread of the collect chuck body is concentric to the 8 deg taper. If the thread is not concentric, the collet will not pull up true at all.
To get around this, I make my own ER40 collet bodies. I cut the final 8 deg / side taper after the thread has been cut in situation on the spindle. This is for my home made cue lathe, and the ER40 collet chuck I use at work.
The only collets that repeat to better than 0.005mm tir , are the ones I have either recut or made from bar stock. The bar stock ones , I make from 4340 steel. With my home made collets, I keep the range to only 0.5mm diameter smaller than the nominal as the max size holding range.
Like you have shown, the smaller you go from the nominal, the greater are the errors of concentricity. My view is because as the part is smaller, you are trying to hold say a 6.5mm part with a radius of 3.5. When the matching radius should be 3.25mm.
Making the collet a very small amount smaller than the nominal, will hold better. So if you make 6.5mm collet, actually make it 6.47mm to 6.48mm diameter. A rebore or a new from stock.
I found the Rego-Fix precision Collet nuts to be the best. They seem to have the threads very concentric to the front 30 deg taper. Another option, is like the Chinese collet maker, that make a collet nut that does not have any offset extraction piece. Instead it is all through bored, and then has 2 slots, that take a special blade spanner , which will extract out the collet as it is undone. The outer body of the collet nut is completely smooth apart from the 2 slots in the area of the groove of the collets.
Neil