Yes, it is to remove and retain the chuck; on the one that I had, it had a morse taper instead of the chuck. Mine was equipped with a 3 phase motot and a drum switch so that we were able to use it for tapping.
The collar is a separate part, it stays on the spindle, I think. It should come off CCW; I would not advise to use heat. Use a nicely fitting spanner with a hammer, while holding/clamping the spindle stationary. I think the top end of the chuck has male threads that the collar engages. Some penetrating oil there may help.