There is only one taper in the spindle that secures ER20 collets only. One could build toolholders that have a male taper for insertion into the spindle and a female ER20 taper for holding tools. The problem is that doing so reduces precious spindle to baseplate clearance and also reduces rigidity from extended stickout. Correcting those two setbacks would require design changes elsewhere that would increase overall cost quite considerably.
If you purchase the toolsetter, tool changes become quite easy. It will automatically set the Z offset for you so that all you need to do is load the tool and press cycle start.
Check out this video showing how the toolsetter is used: Under 60 Second Tool Change on the MR-1 CNC Gantry Mill - 'Chip to Chip' Time Test on Steel - YouTube