I have had an import caliper on my mill's quill for over 10 years. The only real problem I have with it is short battery life so I take the battery out when I am not using the mill.
The fixed jaw is attached to an aluminum bracket on the quill which has adjustment slots in it. The movable jaw is attached to the head casting and the end of the depth rod is also attached to it at a higher point. I could have cut the depth rod off, but opted to do it this way so that the upper end of the caliper was not unsupported.
The quill has a small amount of rotational freedom so I turned it in the direction opposite to the normal (CW) direction of rotation. This places it in that position when the bit is encountering any resistance while cutting so it is against the CCW limit of the quill's rotation. The caliper itself keeps the quill in this position at other times. This has worked OK so far.
I did keep my options open in case this mounting scheme did not work out. Here is an easy way to make a compliant mount for one element of a DRO:
By choosing the size of the music wire, you can maintain the needed stiffness in the direction of DRO travel (left-right in the illustration) while the music wire will allow movement in the other two ordinate dimensions within a sufficient range to allow for any mis-alignment. In my particular case, I may have had to double it up so that both "ends" of the compliant mount were at the same vertical position while the center where they were joined was offset an inch or two.
I also do wood work in my garage-shop and have not had any problems with saw dust. On the battery thing, I have purchased some solar cells and hope to power it with the ceiling lights. I would advise that you try to purchase a caliper that has long battery life, but this is often not one of the specifications. Some of the imports do and others do not.
Another thing you may want to look for is one which can show fractional inches. I have one such import caliper. It was only around $30 or so and it shows decimal and fractional inches as well as decimal mm. I believe I purchased it from Reid and the battery does last a long time.
If you want one with a readout that is horizontal when it is vertical, you can get digital depth gauges that are built that way. But I am super cheap and the caliper I used only cost about $20 while the depth gauges, at that time, cost at least $30. So I settled for reading it sideways which I find to be only a minor inconvenience.
PS: Even on the import calipers the jaws are hardened. I used a carbide drill bit to drill the holes in the jaws.