The way some people bandy the terms 4-48 and M2.5 about, you'd think this was an innate sense we should have been born with.
4-48 is the thread size in inches, and M2.5 is in metric. They're different, and one won't fit into the other. Just because your indicator is graduated in inches or in millimeters doesn't automatically tell you which point to use. There are metric reading indicators which have inch threads, and vice versa.
To make sure, take out your micrometer or calipers and measure the diameter of the threaded portion of the contact point which fits your indicators. Allowing for some variations in manufacturing, the 4-48 thread will have a diameter of about .108" to .110" while the metric M2.5 thread will be about .1" (that's 2.5 mm).
Threads which are just a bit undersize will have one major advantage: if they ever break off inside the spindle, it will be easier to get the broken part out. You'll have no control over this; it's just a side note.