I have the exact same issue. The transmission grinds when shifting into 2nd and to a lesser extent 4th gear. It does it between 2,000 and 4,000 rpm. It does it in both drive and sport, but does not do it when i choose the gears. Not sure what to make of it. I took it to the dealer and they ran a drive cycle and talked to Ford and was told nothing was wrong despite acknowledging the sound. They gave me some papers from Ford saying it was all part of clutch break in. I took it in at 1,500 miles and now have almost 2k and no change. I drove a manual for 15 years before getting this car and can say honestly that this is not just adjusting to the differences in the transmission.