I fashioned a collet to hold the delrin rod better in the lathe and bored out the holes with my new cheap metric reamers. The runout on the second attempt at the toolholder is barely visible, so I'm calling it good. See video below.
The z-axis linear slide arrived without the carriage, and I've opened a support call with Banggood. At best it will be weeks before a replacement comes in. I may mock up a carriage in the mean time so I can get on making the other parts.
The springy 4mm - 8mm coupler came with the 4mm hole slanted by about ten degrees. Rather than complain on a $2 part with a 3 week lead time, I just drilled it out, reamed it and sleeved it back to 4mm. It is nice to have a lathe! And reamers.
With the z-axis screw assembled the little Nema 8 happily lifts its own weight and the screw (upside down) so I think it will be fine. I was worried it would not have the torque for the job.
I added legs to the frame lifting it up about 75mm from the base. The plan is to have all the electrical and pneumatic gubbins underneath the work surface as I have very little worktop space here. The work surface will be removable for access. It needs to be raised up anyway to give space for the camera.
Other stuff that came in: the cheapo solenoids, the nano shields, nanos, 2-pin jumpers, stop switches, power plug.