It will be worth your while to investigate it. "Almost no play" and yet it has a rough/tight spot? Something's not right.
And, also, just to clarify, the "open" part of the bearings goes into the cup, right? The key is to not allow the bearing retainer to touch anything but the bearings?
It depends on how the bearing retainer's cage is shaped. The two common types both have a circular "spine" with fingers that hold the balls. It sounds like you've got the type where the spine is at the inside, with fingers reaching outwards. In that case, the spine should be away from the cone, or else the tip of the cone would hit it.
If the retainer has the spine around the outside edge, with fingers reaching inwards, then the spine should be towards the cone.