"I eventually took the expander rod and gave it a couple of good squeezes in my bench vise, enough to imprint dimples in the rod. It held MUCH better after that."
That's a great idea, Rocky! I shall steal it and do that on my dies that have the collet type decapping rod holder.
I much prefer the threaded rod, as they don't slip- and I never had much problem breaking decapping pins, anyway. Seems to me the collet set up was more of a cost saving for the die maker than anything else.