I've never checked it, but I only engrave plastic and cut wood with the router, so a little run-out isn't a deal breaker.
This is the same boat most folks are in. Since most of us don't have good indicator to measure run-out with we just go with it as things seem to work OK. It is hard to picture that a few thousandths of run-out are that big a deal. If you just using a handheld router, by hand, a few times a year than I would say it really is not a big deal. If your using a handheld router, by hand, several hours a day or your using one on a CNC machine then it really is a big deal.
Bits are not cheap, you can spend $20 or $30 on a simple carbide tipped router bit very easily. Even at $10 a piece they add up fast. It does not take too long before you realize that the router motor was cheap compared to the bits. Now if you consider that excessive run-out can cause bits to wear much faster (and many times they will just break well before they are really dull) it starts to make sense that if your bits last longer you will save money even considering the price of the precision collets.
I must admit though, $20 for a good quality collet isn't bad. If I switch to a Colt router, I'll go that route.
You do need the matching collet nut and wrench. The Standard Grade Colt is about $55 so it is not a huge amount.
I don't want to belabor the point, but having come down the same path of 'a little run-out is not a big deal' myself not to many years ago, I try to spread the word about how much better the precise collets work.