Just checked on my Rocky and to be honest, there doesnt appear to be any lateral "play" as such but there is a little play within the step position locator, not enough to worry about though. I guess if youre worried about it it might pay to contact the vendor you bought it from to see if they can check a couple of new Rockys they have on hand and report back to you.
Pushing on the top rim of the hopper is probably not the best way to measure this though as you would be getting some pivoting action around the centre of the thread exacerbating the apparent movement. Would be better to apply slight pressure opposite the direction you want to measure the play and then push the top burr-carrier towards that side and measure the play resulting from that. Hope thats clearer than mud vr :-?,