There should be NO Wobble in the cassette. There should be no play in the cogs on the cassette. This should all be tight.
What you are missing is a 1mm spacer that needs to go on the hub, before putting on the cassette.
Your local bike shop should have these around. When you lock down the cassette, it should be tight.
This seems to be a very common issue with the HED 3 wheels.