That can come from a number of sources- Which machine did you buy?
Do you have the Canadian or Korean DRO ?
Our machine had the Korean DRO which has a number of settings- be sure you are on the 0.0004" resolution- the 0.00002" resolution is for higher precision grinders etc.
Mechanically, check your belts for any lumps where they were vulcanized together- we dumped all the Chinese belts and put on Gates and the whole machine was smoother. Look for loose pulleys or mis-aligned pulleys which can cause vibration in the mill head. There is a vertical groove machined in the quill which prevents it from rotating, check the fit of the set screw- if its undersize, the quill can shift back and forth which causes the DRO arm to move.