Is it usual for a freehub to have play?
No, this sounds like way too much play, even though the lock-ring is tight it  could be tightening up against the freehub and not the cassette. If you can wiggle the sprockets apart a bit, or slide them along the freehub then the cassette is not being held properly by the lockring. Then you just need to add some spacers. Shimano lock-rings should "click" loudly as you tighten them up usually. I install several a week and would be concerned if even the cheap ones had as much play as you mention.