I don’t think I have any <1/4” shank HSS endmills with Weldon flats on them for a screw toolholder and I have a small pile of random old bits. Carbide would probably be prone to breaking, so when tools get that small, a small-nose collet system or the current heat-shrink hotness is probably more useful overall.
Nearly all the high-speed spindles I have for small tools use collets of some sort, so there could be balance issues as well.