You can also hear a little noise which I think is from the input shaft on some Z's when they are good and hot, crawling at low speed/low RPM (like 2nd gear at 5 - 10 mph), but this would likely sound like it's coming from the front of the car more than the passenger side.
Can you have someone else drive the car while you ride shotgun? See if the sound "moves" to the other side, or you may be able to hear it better.
CPO, I'd be taking it to the dealer. The "inspection" they do isn't worth anything but they should be taking care of you when you find problems.
Good luck and congrats on the Z!
