Check to make sure the lug is not bottoming out on the rotor hub before it clamps the wheel in the counter sink. I have seen this issue with steel wheels before. The countersink in the lug hole is not formed properly allowing the taper on the lug to pass through the wheel and bottom on the hub. This allows it to maintain torque, but not clamp the wheel properly. I also agree with TJ that the center hole in the wheel should fit the hub snug. Good Luck.
