I notice a little "battle rattle" in all of the olymipic weight sets I have used over the past 9-10 years. A little is ok, but a lot is not good. You might want to try a sports store for a little better selection, but you may find the same set at that sports store. You may be able to find better knurling or less rattle. The prices might even be comparable.
There might be a protective layer of oil applied at the factory, but I can't confirm that.