Sometimes the camera gets flooded with the brightness of the dot... (as is the case when photographing the termination point of a high-powered green)
It could be that you are in fact getting it small, but you just can't tell, and neither can the camera.
Another thing is I noticed that you are using the glass lens... am I correct?
The glass AixiZ collimators do not do such a great job at collimating to a point at short range...
GL;
DDL