Sorry for late reply, had a busy weekend and then back to work.
Thanks for your reply Ryan/@viscious1 (I never know what name to use!).
My solution to this in the short term has been to find some #6 nuts from my work and drill and tap them for M4. I did 4 of them to use for the Nut Traps and Tool Holder. I can still glue them in too.
I checked the assembly instructions for the Z-Axis and yes it says to use glue. What glue do you use?