Welcome to the board BigBlue, and congratulations on your new boat! You have every right to be proud of your boat and expect it to be perfect, being brand-new. The reality is, most new boats go through a "shakedown" period (which often lasts the entire first season) during which you find all the things that weren't properly tightened, adjusted, etc. Unfortunately, 2 or 3 or 4 trips back to the dealer aren't uncommon to get all that niggly stuff taken care of. Frankly I thought the first year was a real PITA.
The bad news is, if you heard it before, it probably isn't going to go away during the winter

. But take some comfort in the knowledge that FW
will stand behind it. First of all, if your dealer has a guy they call the "master mechanic," I would consider that a potential red flag about the dealer. Sorry, but to me that kind of stuff screams, "we have no idea what we're doing." You might spend some time this winter finding out about any other Volvo shops in your area if you haven't already, just in case it comes down to wanting a second opinion.
As to the noise itself - It's hard to think of anything that would make such a noise on a new boat. On a boat that's a few years old, the immediate thought would be either the gimbal bearing or U-joints. You might try pumping some grease into your gimbal bearing just in case they missed it at the factory and at the dealership before delivery. Your U-joints are sealed and maintenance-free, so unless they're defective they shouldn't be the problem.
Did the noise occur regardless of trim and/or steering position? Only during turns? Only turning to one direction? I assume your drive wasn't trimmed way high when you heard the noise?