While I agree with Herpin Man ("amphibians don't play"), I do think it's good for all captive creatures -amphibians included- to be stimulated or even challenged every now and then.
It's one of the reasons why life food is so good, and why axolotls with tank mates often seem more active and lively.
A healthy axolotl is a curious axolotl, and for them to stay curious they need something to be curious about.
This can be very simple: give them life food; something that moves in the aquarium (a tank mate, plants, a bubbler, whatever); re-arrange the decorations sometimes; have a substrate they can dig around in; etc.
I understand that's not the kind of "playing" you would do with, say, a dog or a hamster, but it can be fun for you and healthy for the axolotl nonetheless.
I really enjoy watching them explore the tank after I've rearranged, burrowing and checking out every nook and cranny. It can take them a full day of activity.
Similarly, alternating between feeding styles is fun as well. Sometimes I dangle earthworms at the water surface, requiring them to swim up to get it. Other times, I move the food past them so they can "ambush". Or hide the food somewhere, and watch them scour the tank looking for it.
Heck, some axolotls even seem to like it when you move your finger across the glass, just because they're curious.
The most important part is to not stress them out.
Having the axolotls work for their food is good for them, I believe. But having them be desperate, or constantly on edge is not.
Similarly, things moving around in (or outside) the tank keeps them alert, and that's good. But having them be spooked, or feel unsafe, or annoyed, or constantly disappointed, is not good.
