Is it a problem that my furnace filter is loose in its slot?
Those gaps are normal and don't usually cause a problem. When the furnace is running the air pressure forces the filter against the downstream face of the slot, effectively sealing the opening.
Also, it's not critical that you have a complete seal. The air in your home isn't (or shouldn't be) particularly dusty. It's important that most of the dust gets caught before it passes through the fan and heat exchanger(s), but it's not required to have clinically clean air.
They're pretty much all this way. If the filter was to fit tightly enough to create a seal against both faces it would be extremely difficult to install them.  The alternative would be some sort of clamping mechanism like you'd see on a car engine, but it's just not that critical.