This depends on the headset. If you have no slop in it--no movement in the headset itself, either back and forth or up and down--you are fine. I have had headsets that felt very loose like this and others that felt more tight.
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1964 JRJ (Bob Jackson), 1973 Wes Mason, 1974 Raleigh Gran Sport, 1986 Schwinn High Sierra, 2000ish Colian (Colin Laing), 2011 Dick Chafe, 2013 Velo Orange Pass Hunter