Hello Kolias,
Firstly, those bearing housings from China are, lets say....less than desirable. I gambled on a set myself, and lost. I had to do some modifications to them in order for them to even function halfway acceptable. Now on to your problem....
Your either missing a part, or you are just overlooking it. The nut should screw up against a short metal tube, that in turn presses against the inner race of the bearing. This tube should be located in the square part that has the rubber seal. The rubber seal should fit around the outside of the tube, and functions only to keep out contaminates. The rubber seals on my screws also got chewed up a bit. This was mainly due to the fact that the square jam nut was very poorly, and incorrectly fabricated. I had to fix those. You might have to shim between the outer races of the bearings also in order take out the play. I had to modify the bearing cap on the front too. They had the incorrect hole pattern, and the extrusion that goes against the outer race was not long enough to even touch the race. Maybe my bad set was the "one in a million", but I very highly doubt it.