At the top the M8 threaded rod is mounted using an axial ball bearing, so it just hangs down from it.
At the lower end it goes through a radial bearing that is mounted from the bottom. The pulley is mounted in a way that the whole screw is tightened slightly, that way it never bends but will always be straight.
I use an axial bearing at the top since the load is the weight of the X assembly plus the tension on the screw, while at the bottom i only use a radial bearing since it mostly has to cope with the pull of the belt and in axial direction only with the tension force.

Z-Axis-01 Z-Axis-05 Z-Axis-04 Z-Axis-03 Z-Axis-02