OK. That;s useful to know.
Yes, the dial has to go on last. If you have a drill press, I would suggest chucking the shaft in its chuck and using the quill down feed to try to get the shaft started into the gear straight. If you can see the spline marks in the bore of the gear, try to align the splines an the shaft with thise in the gear. Then use a press, not a hammer, to push the shaft into the gear. When you put the dial on the other end, leave about 0.005" end float.
Ideally, when you get the dial back on, using the "1" mark as the reference, it should be misaligned with the witness mark by the same amount when running the carriage toward the headstock as when running it toward the tailstock, but of course on the opposite side of the mark.