Actually, it's not only the wheel moving about the truing stand uprights. Cup-n-cone hubs, such as all the Shimano models and nicer Campagnolo models, will have a bit of axle play when unclamped, to accommodate for the skewer's clamping in the goal of achieving the correct bearing preload as installed on the bike. This axle play is very small at the hub, but the effect is magnified at the rim.
Thus, if you're talking about 0.1mm or less, you better take into account this effect and either mess with the cone adjust before and after truing, or jury-rig a
Sheldon Brown device to remove the axle play.
I understand your point. When using the dial indicator (which is basically never), the dial indicator's return spring holds the rim to one side of that "play range" fairly well, at least for a road wheel that doesn't have a lot of mass. When truing by sight & sound (basically always), I habitually do the same thing by tracing my left index finger against the rim at the feeler, which also helps sight the gap between the feeler and rim, by putting the feeler in shadow.
(from my
YouTube bike-assembly time-lapse video)
Where I do use a dial gauge, and find it crucial to immobilize the hub in the truing stand so the zero point can be arbitrarily maintained, is when truing disc rotors with the Park Tool DT-3i add-on. So I keep a pair of skewers around for that role, allowing me to set a baseline zero point, then find deviations and bend them into the zero plane as closely as practical.
For those who've never seen the DT-3i doodad, here's a pic, it bolts into the hole partway up the left upright. I should add that the DT-3 (the non-dial apparatus that the dial's mounted on) is a prerequisite for the DT-3i.
