Is this an integrated headset? It looks like it is a sort of dust cap to prevent junk from getting into the heaset. If this is the case then it doesn't reall matter if it spins a little. Once the headset is seated it should not jiggle, but is ok if it turns. I am assuming that this is an unthreaded fork if it is a newer bike, which means you are tightening down a compressing cap before you tighten down the stem is this correct? If so does the fork spin smoothly before this cap is tightened.