I've seen a fair number of different ways of mounting calipers to mills...there are some generic solutions, and some solutions which are specific to mill particulars (e.g. depends if you have extended tables/leadscrews, mounted to custom limit switch blocks, etc). Lots of examples if you search for "dro calipers". Insulating the body of the caliper to prevent grounding issues appears to be the most common detail.
I'd be curious if the circuitry side is feasible. I dunno what the LCD signals are like, but if you're converting parallel to serial and back, I'd wonder about syncing the conversion to the LCD update from the caliper electronics, syncing the clock across the two convertors, bandwidth, clock rates/skew, crosstalk, etc. Haven't done any P->S->P work myself, so I'm just theorizing...tricky without a block diagram or details, so I might be barking up the wrong tree.
Temtu, have you prototyped/breadboarded the electronics to make sure they'll work over a long enough cable yet? I'd start there before refining the mounting...that's comparatively easy I think.
D.