nickaix: I pulled apart one of the motors last night. I didn't notice any lateral play, but didn't specifically check for it either. I will check for that today.
GRJ: I have the Lionel Steel Switcher and seem to recall the instructions for that engine provide steps for adjusting that set screw (which I did do).
The F3 came with the original instructions. I'm guessing those will provide a positive indication whether the engine/motors should (not) have those set screws.
Thank you both for your thoughts on what else I should check.