Couple of quick questions.
Is your DTI attached to the table or to the column?
If after adjusting the column with the set screw setup that Hoss came up with you are not seeing the head tramming out in the Y axis you might have an issue with the ways on your Z Axis. If the dovetails of the Z Axis were improperly machined you might see this error. One way to isolate this is to attach the DTI to your column rather than the table. This helps to isolate the error to just the column and saddle. If you still have the error with this setup then the geometry may be changing as the head moves up the column.
.005" is a pretty small error for these Chinese mills and could be cleaned up with careful scraping. I ran into a similar issue on my G0704 which had an unfinished section of the column (about 5") which resulted in massive errors as I approached the extremes of head travel and would even jam the saddle if it went too high.
I got in touch with Grizzly and they have decided to warranty the entire mill so I'm still waiting on the replacement.
If the error goes away when you are measuring with the column as your basis then the issue might be with your column / base connection. This adjustment (either with Hoss' set screws or shims) is pretty finicky. Keep at it and you can eventually tram it out.
Hope this helps.