It's pretty common. When the wheel is spinning but the cogs are not, it means that the the freehub is rotating backwards (hence that clicking sound you hear). If the freehub does not rotate perfectly on the axis of the hub, then the gears will wobble.
It's not ideal, though neither is it a big problem. If the freehub isn't rotating perfectly on the axis of the hub, it means that the cogs don't stay perfectly in the same plane. Now, most of the cog motion is up-and-down (whereas side-to-side motion would affect the quality of the indexed shifting) so it's not much of a worry.
There are two main reasons that I can think of for the freehub not rotating perfectly on the axis of the hub.
1) freehub mechanism has slightly mis-aligned bearing because of manufacturing process - nothing you can do, probably not a problem anyway
2) the freehub unit itself isn't seated perfectly in a plane with respect to the hub
2a) this could be caused by the manufacture of the hub shell itself
2b) or it could be that the freehub needs to be loosened from the hub, re-connected and tightened down in proper alignment.
I noticed this same thing happening on a wheel that I'd recently rebuilt with an old hub last year. I disassembled the hub and removed the freehub body from the hub shell (using a 10mm allen wrench), cleaned the contact area and then tightened the freehub body back down onto the hub. Afterwards, alignment was perfect, and the cogs didn't wobble at all when the wheel was turning but the cogs weren't. I don't know why the freehub body wasn't quite perfectly aligned, but this took care of it.