Ok, I've studied the pics in the link that Bob listed. I really like the "Collet extension". However, the extreme extension, I can't say I'd recommend it. Like Bob is asking, is that a set screw or a cap screw?! If a cap, then return it. No matter what speed you operate it at, you gonna have some nasty vibration(s). The collet extension is simply that, an extension of the collet. Much safer IMHO. Not meaning to offend anyone here, just stating that the XX doesn't look safe at all.
Bob, can't really tell, but, in the pic., it looks like a cap screw.