Mine don't have any discernible play in the slide-to-frame fit, but I gather that a small amount of lateral play (about the axis of the bore) is actually very common with the X-Series guns. A majority of the ones I've handled or fired before have had a tiny bit. It would be nice if this weren't the case, of course, but these guns don't receive quite as much hand-fitting as top semi-custom 1911s do.
Regardless, I don't think a tiny bit of lateral play about the axis of the bore in the slide-to-frame fit is anything to worry about, especially since it's so common. (On the other hand, lateral play about a vertical axis -- horizontal play? -- would be worrisome.) Barrel-to-slide fit is typically vault-tight on the X-Series guns; aside from better fit in general, the X-Five/X-Six has a lateral shelf on the front barrel hood that provides super-tight vertical lockup, unlike a standard P-series Sig. The vertical slide-to-frame fit is also much tighter (as in there's usually no discernible movement at all) than with your average regular Sig. The fit in the latter two areas is what really makes the difference in accuracy.