I'm going to hazard a guess, and suggest a way to do a quick check. First off, although it may help to hold things, the 30 degree angle where the nut meets the collet is primarily to force the collet down into the tool holder, and it's the 8 degree angle along the outside body of the collet and the inside of the tool holder that clamps the tool within the collet and the collet within the tool holder to keep anything from slipping. I think it's possible that there is is a problem with this 8 degree match between your collets and toolholders and the tool holder is only clamping the collet at the very bottom, (or very back edge), of where the collet meets the toolholder.
Try this: Using a 1/4" tool that you are sure has a good shaft, insert the collet into the nut, and insert the tool into the collet until it protrudes past the back end of the collet. Clamp it up in the tool holder where the gaps in the collet are uneven as shown in your picture. Now, look in from the back end of the tool holder, (looking at the back of the collet), and see if the gap in the collet match the gap irregularities on the front of the collet, or if the spacing of the gaps at the back of the collet are more uniform. If the gaps at the back of the collet appear more uniform, then there's a good chance that you are only gripping everything at the back edge of the collet, which is not what you want. If you find that the gaps at the back of the collet are more uniform, take everything apart, and clean the outside of the collet and inside of the tool holder with alcohol to remove any lubricant. With no tool in the collet, and without using the collet nut just press the collet into the tool holder as hard as you can. Having removed any lubricant, the collet should stay "locked" in the toolholder. You should see that all the gaps in the collet are closed at both ends of the collet where the gaps meet the hole where the tool would have been. If you find that the gaps are completely closed at the back end of the collet, but not at the front of the collet, then the 8 degree match is the problem.
If this is what you see, don't rule the possibility that you have 4 bad tool holders - especially if you got them all at once. These things are made in batches in China, and it is possible that all 4 of your tool holders were from the same bad batch.
GenInt