On my X3 I always moved the head Z- before tightening the gib lock. When tightened the tool "raised" up away from the work about .0025"... not a big deal, but since it was very consistent I factored it in when moving if needed.
When manual milling (and wanted high accuracy) I would bring the tool down to a few thou off the work. lock the Z. Place a .001" shim under the tool. loosen the quill. press the tool onto the shim. lock the quill. zero the Z DRO. unlock/move Z to required height and lock again.
Since the DRO was zeroed with the Z locked the offset will be as accurate as I could get it. Also I removed my quill spring... gave me better feel when drilling and more repeatable "weight" on the shim.
FOR CNC you throw the lock handles away. the motor creates the holding torque. Gibs are carefully adjusted to be as tight as possible without inducing lost steps or backlash