Yes, I have been right where you are, scratching my head how to remove the black collar to install the Align power feeder on the Z-axis on my PM935. Here's what I can tell you.
That black collar is threaded onto the shaft that rotates - circled in green here:
I wasn't sure if the bushing was pressed on, if there was a cross-pin securing it, or if it was threaded, so I decided to remove the entire assembly and deal with it on the bench. The end of that shaft that turns has a ball bearing assembly that is slip-fit into a mating hole in the knee casting. You can see photos of that here:
The end of the shaft has a pinion gear (keyed to the shaft and secured with a screw into the end of the shaft) which is smaller in diameter than the hole in the casting for the bearing:
I put a slide hammer onto the end of the shaft, and with a few sharp blows pulling the shaft outward from the knee, the bearing slipped out of the hole in the casting and I took the entire assembly to the bench to figure things out. What I discovered is that the black bushing is threaded and locked in place onto the shaft with something like Lock-tite. I put the shaft in a vise and went after that bushing with Channel-locks and couldn't get enough of a grip on it to budge it loose. So I put a torch on the bushing and heated it up slightly and then applied a monkey wrench to the bushing as shown here, and it came loose (it is normal right-hand threaded):
I have to say that whoever put that bushing onto the shaft at the factory wanted to make sure it never came loose - it's on there goodentite and locked with some kind of seizing material. But I did get it off and didn't damage anything. Reinstalling the shaft was as simple as lightly tapping on the end of the shaft to re-seat the bearing into the hole in the casting near the knee elevation screw.
You might be able to get that bushing loose from the shaft if you figure a way to lock the shaft from turning and then using a toothed wrench on the bushing. But if I had to do this over again, I would still pull the entire assembly and take it to the bench and use a vise to grip the shaft.
If you'd like to see all that I went through to install the Align feeders on each of the three (X, Y, Z) axis, it's all documented with photos and videos, and each photo has a detailed description if you click on the photo:
https://flic.kr/s/aHsmoK65ZQ
Hope this helps.