I wouldn't bother checking the TIR on a collet made by a reputable manufacturer, but us hobby machinists don't always buy from reputable manufacturers. You'd better believe that I check equipment that comes from distant sources, because sometimes it has to be returned. I've had Morse tapers that were NFG, their tapers were way off and had sub 1% contact.
If you machine for a living, you don't have to deal with this as you don't buy bottom shelf tooling often. But as hobbyists we often have to economize. When you buy lower end stuff you have to do your own QC and incoming inspection. So yeah I check TIR of the collets I bought, just to make sure I didn't get a lemon. 95% of the time it works out ok. It's the 5% stuff that can be troublesome. I'm just looking that the runout isn't awful, or the bearings aren't full of grit, or bearing housings aren't broken, things like that.