so it just held in by friction, no bolts or anything?
Yes, by friction only.
With the case of Morse Tapers, the friction between the taper and the socket creates a strong grip that holds the two pieces together by the large amount of
surface contact between the taper and the socket. This increased surface area leads to a higher amount of friction, making the tapers stick together.
Clean steel on steel has a high
static coefficient of friction at around 0.8. Typically, steel on steel dry static friction coefficient of 0.8 drops to 0.4 (drops by half) when sliding is initiated - and steel on steel
lubricated static friction coefficient 0.16 drops to 0.04 when sliding is initiated.
Regularly cleaning the taper and socket can prevent buildup of oil, or debris that can increase friction.