My 42mm stainless steel has some wiggle room on the top connector, but the bottom one is perfectly snug.
Went to the Apple Store to exchange the band (black classic buckle), which they were happy to oblige. The guy opened up a new one, put the band on... Same thing. Slightly loose.
We then tried every SS display watch, with the same exact result. We then tried all of the different bands using my own watch, and still the same result... Except for one: the stainless link was perfectly snug. Every other band was loose on every other SS watch, and only on the top connector. Bottoms were all perfect.
I opted not to return for a Genius Bar appointment for a possible replacement watch, simply because I don't want to have to wait... Only to probably still have the same issue.
I'm gonna try again once they're more readily available in stores.