One thing I don't understand about ER collets: Do you have to remove the ER nut every time you change a collet?
I can answer that one. The nut and the collet become basically integral. The collet kind of snaps into the nut and when the nut is loosened the collet is jacked out of the chuck taper by an eccentric ring in the nut. So yes the nut comes off every time but it's painless.
My ER25 chuck takes about 2" of headroom, I think they're great.
Edit: With extra nuts you can leave commonly used tools together with the appropriate collet and the nut. Makes tool changes very quick, the nuts are inexpensive.