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Thanks! Yeah preloads fine and definitely not clamping into thin air at the top.
Funnily enough I tried a different spacer configuration earlier with a thin one on top and couldn't preload the bearings. The bolt couldn't be tightened any further but the headset was still loose. Now that I think about it I wonder if maybe the spacer on top was too thin and the top cap was hitting the steerer, I guess that might cause that?
Do I need a thin spacer above the (aluminium) stem on a steel fork/steerer? Or is no spacer at all okay? The stem has two bolts, and the top one is probably just about below the top of the steerer.