The recessed slot sides are pulled up flush when you tighten the bolts using standard wide components, so yes, a narrow component may be slightly down unless you use a wider support piece between the rail and the extrusion. I believe the recessed walls make for an internal 'belleville washer' effect, providing some tension on the bolt shaft.
Any intermediate piece should be sufficiently stiff that the T-slot walls bend, not the added piece. Thin, weak intermediates would give very poor support for your rails, since the rigid rail would be trying to attach to a distorted (curved) shim piece.
Cheers!