Are you saying the yellow bit moves relative to the dark bit? It shouldn't.
The top and bottom screws have a purpose.
You loosen one, move the gib with the other, then lock the first one.
Bottom one moves the gib up. Looser I think, top one moves it down.
Once in the correct position the screws make the gib captive.
The gib should never be able to move up and down.
My SX3 Z moves about 0.002" max, and when adjusted gets close to 0.001".
I measure by moving the head down, touching the DTI, then zero the DTI and the the Z DRO.
Now jog up in very fine increments. (ctrl and arrow keys - setup with TAB key) The head will keep moving DOWN !
Once it stops moving down, the indication on the DRO is how much I measure.
I really am measuring the head 'bob' and the smaller that is the better it is. The more play in the gib, the worse it will be.
If the gib is too tight, then you start to measure other deflections as it is getting stuck.
This is a FEATURE of this column arrangement.
I just program the measured error into my Z moves for finish cuts.
I repeat to 0.0001" all day, once machine is warm.
I cheat by a factor of 20. The top of the column is solidly attached to a brick wall. Without that, it is a bit ordinary.