My rotors move enough to make a clucking sound when you rotate the wheel and you can see the rotor move before the hub moves.

 

The rotors center themselves on the hub. So there should be no lateral movement.

Fitting over the wheel studs is a rather loose fit. But once the wheels are tightened up, the rotors are cinched into place.

The torque of the lugnut is important because of this. Unequal loading can cause problems