Actually, some people run them loose and others (such as me) are able to run them fastened solidly (after the alignment method @PaulS mentioned, of course).
It seems to depend upon how well all the mounting holes align between the base plate, build platform plate and the side rail support plates on your particular printer.
I guess I got lucky with mine.
What I actually did, to be precise, was to install and align the guide rods, bearings and clamp blocks first without the lead screws.
Once everything was aligned and clamped down (again, using the technique described above), then the lead screws were installed and aligned in the same manner.
This allowed me to easily verify that there was no binding of the guide rods because there was no resistance from the lead screws.
I have similar disagreements with the assembly procedure in regards to the installation of the X and Y carriage rails.
I installed mine in stages, not all at once.
But that's just me.......