I have noticed this as well but in mine I would nt really call it a grinding noise but its definatly a strange sound that disaperas like you mentioned - I pull off the drive in reverse rather than D and it happens for a few seconds. Think I wil have to mention it to the dealer, but I can see...
I am a very impressed new RS3 owner. I did have stage 2+ S3 and was very impresssed with that butthe RS3 is a different animal all together :-)
I am determind not to modify this one apart from a remapp once run in. Has anyone had any dsg issues after a remap?