This is not good, getting it out with out damage but it has to come out.
I would remove the motor from the base you might be able then to take a flat blade screw driver and pry it out, try and be careful you may have to buy a new collet.
Never tighten a nut and collet down without a bit in it . Yes the collet and nut need to be snap together
Looking forward to your participation.
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Thank You John