Is it the collet or the holder, or both. The Tormach system is to DIN 6499. An ER collet system standard precision according to DIN 6499 is something like 0.0006" at 0.4". Have a look here:
You have to remember though that you are mounting a collet in a collet, so concentricty can suffer.
I have 3 Tormach holders and a set of collets and they are all equal to or better than DIN 6499. I can't detect any runout in the holder tapers themselves when using a 0.01mm dial gauge.
I would talk to the supplier about a replacement, after you have checked if it is the collet or the holder, if you haven't already.