Suggestions for tool holders? And what is this holder for?

I'm new to CNC and just got my first VMC. At HGR Supply I got a tub of CAT50 tool holders... a couple TG100 collet holders with a .730" and 1" collet, and a variety of 1/2" - 2" end mill holders. I'm wondering if I should get a few drill chucks for drill bits and reamers or if collets are a better way to go. I just can't see justifying getting collets to cover the full range of drill bit sizes, though I know they should hold position better. What do you use?

Also, what is this holder for? I can tighten the nut but when I turn it to loosen it'll just spin but won't come off. it looks like it has a collet in the bore but the long cuts don't go all the way through.

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