Not sure what to make of this...

I was looking at the front rotors of my 2008 Ford Super Duty and saw this. Both sides are the same.
It looks like a dust seal but its not retained. Is this how it should be?

Also, what amount of 'out of flat' will cause break problems.
Using a dial indicator i get,
Left Side - .002 "
Right side - .005 "

I'm looking for a thumping feel when the brakes are applied.