I've never heard of Xenon. I have seen the same drill in another brand, too, besides Proxxon, though I can't recall the name.
This probably just infuriates OP, being so unrelated, but it does speak a little to Proxxon tools:
1. I have no problem using the 12V Proxxon rotary tool in the Proxxon stand, down to 0.5mm carbide, and that's using a chuck. I haven't purchased anything smaller. I don't feel any vibrations from user standpoint. The only time I have broken a bit while drilling a hole is when the set screw on the stand wasn't battened down properly.
2. Collet vs chuck: I use the chuck in the Proxxon for PCB drilling. I use the same tool with 3mm and 1/8" bits for other things. And I don't change it for PCB drilling. I used the collet in the Proxxon I used to use for routing/machining, to reduce the length of the bit/sideload. But that's about the only reason in this case. I have 3 Proxxon tools (and 4 proxxon tool chucks; RIP original Proxxon). I have used them all for milling and drilling with no detectable loss of anything over the collet. So.. Proxxon makes good chucks, perhaps?
That said, nope. You wouldn't need a chuck for carbide drill bits of different sizes. Unless maybe you had a mix of 3mm and 1/8" shanks.
+1 on 0.2mm being super tiny. A bare 30AWG wire is larger than that and wouldn't fit through that hole. What it for, Copper? I was wondering if he made a typo, or something. My smallest steel bit is #80, and that is 0.35mm.
I used it once, and the 30AWG wire went through with room to spare... but too hard get it started in the hole!
Uh, wait. I already know the answer. Making holes in PEX tubing for an etch tank bubbler?