Sometimes the split centering cone drops low enough into the bearing top race that the spacers beach out against the race itself rather than the cone. Remove everything and see that the first spacer can press the cone tight without touching the race.

If that is the problem, look for a smaller spacer or shim with an OD equal to the cone so it can be pressed deeper. Alternatively you could wrap the fork at the height of the centering cone to build it up a bit so the cone cinches while still higher.

If it isn't centering cone related, check the bearing orientation, that upper and lower are correct (if not identical) and all spacers so that both upper and lower headset bearings ride on the balls, not on any seal or other obstruction.