Standard r8 collets are more rigid as they keep the tool closer to the spindle nose. They have decent runout and they are not real expensive. They also don't eat up Z clearance which is at a premium on the X2. They have no clamping range so you must have a collet for the exact size shank of any tool you want to use. A less expensive way to get started.
ER32/25/20 will extend from the spindle nose a fair bit so they are less rigid. They will use up some Z clearance as well. They generally allow a good amount of clamping range so they can clamp the nominal size as well as something like 0.040" under size too. This allows you to drill with them when you need the added accuracy if you have a set of collets. Tool changes will need less clearance over the part since you don't need to pull out the whole r8 shaft, just the smaller ER collet.
A good set of collets is expensive and I'd recommend Glacern and Maritool for that as well as the collet chucks. I'd also recommend a set of collets in 1/16" increments so you can drill most sizes without needing to change to a drill chuck. If you needed some really odd ball size then you can get that individually when the need arises.
Hope that helps.
CNC: Making incorrect parts and breaking stuff, faster and with greater precision.