Kelly Jones wrote:
Got a problem with my 9 x 42 horizontal - vertical mill (Grizzly).

Actually, probably more a problem with me.

Twice now the end mill has walked out of the collet and made unpleasant
looking marks on the table. Both times when making the cut the whole
machine has vibrated (not badly, but noticably). I have examined the
assembly for looseness, ensured the bolt is tight, and free of burrs and
chips, reduced the feed rate to a crawl, changed the speeds, and made sure I
had a sharp end mill. I really need some new ideas.

As others have suggested, go to endmill holders.
If you can't, degrease the collet bore and endmill
shank before installation. Look at using roughing
cutters if you are roughing.