Finally, too late, HF technical support sent me an email today, describing the correct method of attaching the chuck:
Dear Paul,
Thank you for your recent inquiry.
Here are the steps to install the drill chuck.
First, you must make sure that the chuck taper and spindle taper are both clean and undamaged.
Place a block of wood down on the table; close enough so that the chuck can be lowered to touch the wood.
Retract the chuck jaws to prevent damage.
Lower the chuck down to the block of wood so that the chuck touches the wood while at the same time receiving pressure from the spindle. Place approximately 30-50lb of pressure onto the handle of the unit.