The simple answer is that 5 micron scales are more than good enough for any milling machine. You get 0.0002 resolution, and even brand new, unworn, perfectly setup machine will hard time holding those tolerances (despite what some might say). Even if you can measure that distance, things like cutter deflection, thermal expansion of cast iron, etc. will affect the measurement. There is no significant downside, though besides the cost.
In practice there are a few things to consider: the quality of "name brand" Chinese glass scales is good-to-excellent. The scales that you get on eBay, AliExpress etc. for under $300 for the whole set are that inexpensive for a reason. Best case scenario, the vendor might've skipped some QA and adjustment steps, used lower grade ball bearings (the carriage rides on a set of miniature ball bearings inside the scale) or included only one set of rubber seals. Worst case, the scales are QA rejects from better brands. This can be simple scratches on the aluminum, but might also mean bad encoder strip with bad etching, missing marks, etc. If you get a set of "reject" micron scales, they still will be better than "good" 5-micron scales simply because the error will be proportionally smaller. That said, unless you are doing aerospace work, even "bad" 5-micron scales are more than good enough.
One thing that can be a negative for micron scales is the 5x pulse rate. On a mill with manual feed this is not a problem but on a lathe, where the apron can move pretty fast and unevenly, or on a mill with fast power feed the scale might move too fast for the pulses to fully rise over the threshold. Also, some DRO heads might not have enough processing power to handle the pulses. I tested TouchDRO firmware with 100KHz square wave input into four axes simultaneously (100mm/second with 1 micron scales). With proper input chips this was not a problem, but at that point any line noise would wreck havoc on accuracy. 100mm/second is more than achievable on a lathe...
Hope this helps
Yuriy