One thing I've found with any type of collet holding device is to never fully seat the shaft into the collet or a collet onto a shaft. Then when you loosen the prop nut you can tap on the end of the collet and it will release. Same would be true for the shaft into the collet like a router would have. Don't fully seat the bit into the collet assembly. Loosen the locking nut and tap the end of the bit and it will come out.