Photo?
Up til now, I thought you were saying that the headshell does not sit at zero degrees azimuth, which means that when you view the headshell "on end", the flat top surface of the headshell is not parallel to the LP surface. If this is NOT what you are worried about, then what ARE you worried about? And before you go further, keep in mind that it is not a given fact that all headshells fit all tonearms properly. I have seen some gross mismatches where the aftermarket headshell won't firmly seat in the end of the arm wand. Which is why you are best off to start out with the OEM headshell and work from there.
I disagree with Invictus, there should NOT be any play between the headshell and the arm wand when the collar is tightened. And as you tighten the collar, play or wiggle in the azimuth setting should become increasingly limited until there is none. At that point, if you perceive a need, you can use the built-in adjustment for azimuth on the headshell itself, if that is available.