I've had a few MR2's now and none have had the grub screws holding the disc to the hub.

If properly located, the wheel will hold the disc to the hub when the bolts are torqued and there will be no knocking.

Maybe, if you have aftermarket wheels that have a larger centre bore than stock Toyota, the wheels are not centred properly and are resting on the bolts rather than the hub centre.

You may find you need to investigate further if you have stock wheels correctly fitted and torqued.

HTH