That is interesting. Are those pins in the slit? I've seen pictures of machinable collets. I think the general idea is you machine custom bores/features to fit production parts with the pin in so its stabilized. Then remove the pin so it has free clamping action. That one has fewer slits although that maybe be by design since machinable would be for much more limited clamping contraction size range.
looks like those pins are keeping it held at the full size it is bored to so it doesn't click into the collet holder all the way? can you give it a nudge towards sitting properly? Might be a bugger to extract?
Are you putting the collet in the nut correctly?
See
https://www.rangate.com/products/er40-spring-collets
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