People seem to buy the complete collet set so they can hold any drill bit they want in a collet. Others buy several drill chucks so they can do the same (for far less money).
I would recommend you do one or the other. Personally, I go for drill chucks. If you do, than definitely buy at least a couple 1/4" chucks, so you don't have to swap drill bits (and lose the tool zero) in the middle of a run. I see the advantage of collets, if you have a size you use a lot, you can leave it in the ATC, and it doesn't require as much headroom as a drill chuck.
Also, endmill holder or collets for your enamels? Redundant. If you want collets, than buy 3 or 4 collets of the size associated with the endemic you use (1/4", 3/8", 1/2"). I go with endmill holders, but that is a personal preference. But I would recommend chose one or the other.
Again, one or the other. Either you will touch off tools when they are in the spindle to establish tool height (which I do, although with a $90 non-automatic tool setter instead of a fancy one), or you will use the "tool assistant". I started out thinking I would use a height gage and the granite plate, but found that was a pain. Easy just to put them in the spindle and measure them with mach3.
Here is a page of "manual" cheap alternatives for the tool setter:
Enco - Guaranteed Lowest Prices on Machinery, Measuring Tools, Cutting Tools and Shop Supplies
And I use this: