I've used the Stronglight A9 and Delta, which also use the roller bearings. They have a conical washer on the top and bottom of the bearings. Big washer on top; little washer on the bottom. You should apply some grease between the washers and the "cup and cone" portions.

Was the headset already installed, or did you just put it in? They are just made of aluminum, and require some care during installation.

And for what it's worth, these are tricky to adjust correctly. You'll never hit that sweet spot as with a conventional headset. Just check for when the play goes away. With care, you'll get a lot of miles from the headset. I've got one bike with over 45,000 miles on the Stronglight Delta.

Steve K.