Probably because you're loading them into a clip instead of a magazine. :-)

But in all seriousness, it's common among 40cal magazines. It's simply a round or two that is loose due to the geometry of the stack and the spring pressure. It's normal, nothing to worry about. It will go away when you insert it into the pistol.

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M&P40c/15-22/SD9VE/Mossy500