I've used MT 3 collets in my Mill Drill for years and they've served me well. They need a good whack on the drawbar for removal, don't be shy. I've had to make a new one but I've no complaints. I have MT3 fly cutters, boring bars, slitting saw arbours and of course the ubiquitous drill chuck.
Busy Bee 12-36 lathe, Busy Bee Mill drill, Busy Bee 4x6 bandsaw, Homemade 9x17 bandsaw, Ad infinitum.