A couple of things to consider. The screw that holds the rotor on is only needed to keep the rotor in place with the lug holes lined up while the wheel is off. Since there is only one screw it is not meant to hold the rotor perfectly flat on the hub so some wobble should be expected. You can either bolt everything up and check for a pulsating feel in the pedal which means warpage or just take the rotors to a shop that turns rotors and have them checked. If there is a slight warp it may be able to be corrected by turning the rotors.

Another thing you may want to check is if they sent you two left rotors. Crossfire and SLK rotors have directional cooling vains. When the rotor is on the car, the cooling vains on top should sweep towards the rear of the car. I recently bought some very expensive Disc Italia rotors and was suprised that they only use left rotors for both sides. This means the right rotor cannot cool effectively like the left one. I am also getting squeal from the drilled/slotted rotors and am ready to ditch them for OEM rotors.