Is it normal for a new Shimano hub to feel rough?
The intention is for it to be adjusted after the wheel is built but before it's ridden.
Tension on the flanges has some effect on preload. Were it a QR hub, there's also the fact that some play is desirable off the bike, but not when the wheel is being built. This applies less or not at all to Shimano thru-axle hubs, because the adjustment doesn't usually change when installed onto the bike, unlike a QR.