No, there definitely should not be any play between the bearing and axle. Mine fit with just enough clearance that it would slide on without forcing it. If I had to make a bet, I would say that the bearings you're getting are the wrong size. I've never heard anything good about all balls bearings, try a different brand. I've used the cheap no-name bearings on rockymountainatv.com and they worked great for me, actually they've lasted longer than my Pivot Works bearings did.
I hate fixing things repeatedly, so when my bearings failed for the second time, I drilled and tapped the axle carrier and installed a grease fitting. Then after the axle was installed i pumped the bitch full of industrial equipment grease and then gave it an extra pump of grease a couple times a year. Before that, I was killing axle bearings about once a year, i think mainly because i ride in mud and water a lot and a little bit was getting past the seals. The cheap bearings have been in it for about 3 years now and are as tight as the day I installed them. If you do this, I would recommend using a lighter duty grease than I did. What I used is about the toughest grease out there, which will make the bearings and seals last forever, but because of how thick it is, it noticably added to the rolling resistance of the axle.
