Some first time Taig buyers are unfamiliar with the ER collet system. I have heard from some who believe their system has a defective collet nut because there is an eccentric machining evident inside the nut.
This is intentional with ER collets as this off-center ridge or ring engages the groove in the collet. It is off center so the collet can be installed and removed from the nut. This "retention ring" is what makes ER collets "self extracting" when un-screwing the nut to remove the collet from the spindle bore.
Proper assembly is to first snap the collet into the nut. This may take a bit of effort and finesse with smaller sizes like the ER16 and ER11. This is perfectly normal. In the Taig ER16 system, the face of the collet must be flush with the face of the nut.
Then the tool is inserted in the "collet and nut combination", and only then is this combination screwed onto the spindle and tightened.
NEVER place the collet into the spindle and try to screw on the nut. You are likely to damage both the collet and the nut and even perhaps the spindle. Damage by improper assembly of the ER collet and retainer nut is not a warranty claim. Damage to the spindle may require a spindle replacement.
Here is a link to a video produced by Taig demonstrating proper assembly: https://binged.it/3aCT9WV
Also keep all components of the ER16 collet system meticulously clean when using. Wipe all oil from mating system with a lint free rag. Rust preventive oil may be applied when not in use to prevent rust, but should be removed before use.