Have you tried turning to full lock and then backing off the steering wheel a couple of degrees before giving it gas?
As I said, it seems to me to be normal so I never turn the wheel to full lock - but if your previous car did not make noise under the exact same circumstances, then you might bring it up with your dealer. At worst, they will check it out and tell you it's OK, and if there is a problem, it can be handled under warranty.
Tom
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