mjb, the noise is the result of the type of gear set used for first gear versus the type used for second through sixth. What you have for first is called a spur gear or straight cut gear, and those tend to be noisy if not machined and fitted perfectly. Older Harley's had spur gears for all five, and many of those were noisy. With some additional miles and a switch to a real gear lube instead of motor oil, you will probably notice a significant reduction in the noise level.
As for the clutch drag, yes that is an all too common issue with the hydraulic clutches. It shouldn't be that way, but you can say that about a lot of the things we all learn to live with on a Harley. Have your dealer make certain there is no air in the hydraulics, and put some miles on it to wear off the high spots on the clutch plates. You might also consider trying automatic transmission fluid in the primary, rather than motor oil or regular gear oil. Auto trans fluid is specifically made for wet clutches, many of the other lubes aren't.
Jerry