Actually, Julk is the guy who discovered the little play in the n'lock. I thought it was something in my headset and my LBS failed to feel it at all. It's natural. If your n'lock is competently fitted, and it is only a little play, you're good to go.
However, if this is the first time you've worked on a headset/steer tube, or if the movement is more than very, very little, and in any case if you also fitted the steering tube extender insert with the n'lock, get your LBS to check your installation. Better safe than sorry.
You don't notice that little amount of play when riding.