Sounds normal to me too. That is the sound of the cancelling mechanism, if not, it would make noise when you turned the wheel without activating the turn signal.
I'll bet if you placed a finger on the end of the turn signal stalk, you'll be able to "feel" the click when you turn the wheel.
Maybe once it gets "worn in" the sound will diminish somewhat...Just my $.02 and maybe turn the radio up a little louder
