I remember how much slop there was in the rotors when installing my rear 4-piston Wilwood calipers in the Cobra. I don't remember about the fronts.
I just replaced the pads and rotors in my Tacoma for the 5th time in 15 years. I've tried a few brands: The cheap Pep Boys ones, the premium Pep Boys ones, Genuine Toyota, & Brembo
The rotors move on the lug nuts a good 3/32 of an inch or so. That seems like a lot to me, and the inside flange of the wheel is flat - it's not like it's tapered and it centers the rotor as you tighten down the lug nuts.
No, there aren't any problems, but the whole thing seems strange to me.