Should cassette "wiggle"
If you're saying that, off the body, the sprockets move slightly relative to each other, that's not a problem.  The sprockets are only just "tacked" together so that they remain in the right order and orientation while off the body.  The body provides the strength to hold them.

If, on the other hand, you notice that the sprockets slide up and down the body after installation, or if they seem to wobble as they turn, that suggests that they were installed incorrectly relative to the notches or that a spacer is missing.