That IS odd.. it sounds like there's a small internal leak in the hydraulic system. With hydraulics, there is no pressure in the system (very minimal pressure anyway) until there is a resistance to the flow created by the pump. The pump may not create enough flow at idle to overcome the leak. When you rev it up, the leak isn't big enough to allow all the fluid to bypass before building pressure to raise and curl the loader. It's like the relief valve is stuck partly open.. or something similar. Will the 3-point hitch do the same thing? You might have to put an implement on it to get enough load to check.
Sean