That's an air bleed hole. If your nozzles are in a hat (above a blower) or naturally aspirated, you'll need the holes. If they are port nozzles in a blown application (below the blower), you DON'T want the holes. The holes would make for a boost/fuel leak if they existed below the blower.
The engine sucks air through those holes at idle and it helps to break up the fuel stream. Naturally aspirated applications generally utilize two holes per nozzle body.
If you need bodies with the hole, it's perfectly ok to drill holes in what you have there vs. send them back.
Spud