Dealer has a lot of setup to do. You might see the tractors in their special racking. They need to install tires, install loader, other detail work, lube all fittings ( should be lubed from factory but also dealer pre-delivery). In the knocked down shipping crate, it’s possible for something to hit a fitting in transit, a reason for dealer to do their thing.
As for your steering, did you say you can turn it easily when the engine is stopped? Should not be. The HMU is also a pump, a required safety feature if the engine dies. Turning the steering wheel by hand should be very difficult and should turn the steering tires. I mean very hard. I watched a video last year where a farmer’s John Deere combine engine failed. He and his brother wanted to get it aligned so when the dealer came with his truck, they could quickly load it. The person needed so much effort to turn the steering tires he broke the steering column off. His brother, who was videoing for his YouTube channel, got a good laugh. Anyway, this is how hard it should be to turn. There will be some leakage in the unit so you will be able to turn without the wheels steering, but it should be high effort. I think you do have a problem the dealer needs to check. And none of my 7 Kubotas with HMU’s have a clicking.