I pulled my headstock apart when I noticed how shaky the front was under braking and tightening the bearing nut wasn't helping (I could tighten it all the way to locking the steering, and it still shook), and I noticed a couple of things.
1) I had put the tapered roller bearings in what was probably upside-down.

2) The inside race of the bearing could be easily slid on and off the steering rod (including where it thickens out down the bottom) by hand, and the meeting between the inner race and bearing nut can only be called sloppy, with visible wobble between the two.
Now, I can buy the bearing nut connection being loose, but I would really think at least the bearing onto the steering rod should be a press fit.