Update - I uploaded a v2 of the pole - this one has a deeper base with a little bit thicker wall so it sits more firmly (and straighter) on the threaded rod.  It also seems to print a little better

Inspired by BaGooN's Z-Axis Ballerina indicator (https://www.printables.com/model/133617-z-axis-ballerina-indicator), but I didn't use any of his files.

Print settings I used: 

pole - 0.2mm layers, 60% infill

dancers - 0.2mm layers, 40% infill 

Assembly instructions : slide the pole into the clips - gently.  If you try to snap it in, the clips will break
 

I included the OpenScad file and the svg files I used, so it’s easily modifiable.