That's about right Rowan-- cartridge bearing hubs need a tiny bit of "play" when mounted on the bike. I'd suggest getting qick release shewers with allen heads on them. These make dialing in the micro play in the hub easier.
With the old cup and cone hubs, the axel sould have play when off the bike, and no play when clamped down with the skewers. Again, allen headed skewers are a good idea.