They do have some play in them which is taken up when they are under load.
Here's a video of mine.
these are ERSON lifters on a custom grind solid cam and lifters.
What cam and lifters are you running? Is it a solid or hydraulic? Hydraulic will pre-load the rocker so there shouldn't be any play whether the valve is open or closed. With a solid lifter you'll need to run a valve clearance which with the valve closed will allow lateral movement.
I run 14 thou cold but apparently should be running 20 thou hot. Too bloody noisy at that gap.