Agree with the first part, short duration implies lower volatility. But we know that T-bills are zero coupon bonds, so holders are not receiving interest paymen

Agree with the first part, short duration implies lower volatility. But we know that T-bills are zero coupon bonds, so holders are not receiving interest payments along the way, the interest is built into the redemption price. So forced selling because of a run for example, at a bad time, can mean a loss on the price and therefore no interest.