Using a tapped hole through all of your "made by you" reducing bushings instead of a drill-through hole would work I suppose but (a) it would be a lot of extra work for zero gain and (b) assuming that the thread start would have to match the thread finish in the holder within one degree, the odds are 360:1 against you ever finding another cutter holder that those bushings would work with. So if you use a hole instead of a slot, use a drill-through hole, not a threaded one.
Not sure if I understand exactly what you're doing but If you're making something why make a bushing to be used with a holder. Just make the holder to fit the end mill and put a set screw in it for the Weldon flat. I use a straight shank for the lathe and stick it in a 3 jaw. The reason you shouldn't stick an end mill into a 3 jaw is that they're both hardened. A mild steel adapter works just fine.
If you use a bushing inside an end mill cutter with no setscrew how do you hold it in? All the end mill holders I bought or made had a setscrew for the weldon shank. If the endmill didn't have a flat already I ground one in. The MT holders all had draw bar threads, the untapered holders were soft and did not. I used them in a lathe chuck. The holders for my mill have R8 taper and draw bar threads. So does my ER32 collet chuck. I also have a 1 inch straight shank ER32 chuck for my lathe but It's hard so I have to tape it for chucking.epanzella,
The milling cutter holders marketed by Atlas had a 1/2" inside diameter by 2MT (for the 6" lathes) or 3MT (for the 9"' 10" and 12" lathes) that was drilled and tapped for the 3/8-16 common draw bar. And for smaller diameter cutter shanks they supplied a set of four reducing bushings in 1/16" increments down to 1/4". They were NOT intended for use with Weldon style cutter shanks. As I discovered the hard way.