This is a characteristic of a lot of 4wd cars Audi included.
Remember you have mechanical moving bits and bobs in the front axels which may not have been on your previous cars. The sounds are new to you and scrubbing (which all mercs do) is a trait of the way suspension lifts the outer wheel.
Not all Mercs do this fortunately, for example my outgoing GL didn't do it, yet my GLC does it violently. And my Audi Quattro only does it occasionally under extreme circumstances, yet my GLC does it each and every time regardless of weather, temperature, road surface etc.
My VW Golf R never does it, my Mercedes GL never did it, nor did my Nissan Navara, nor my Nissan Murano, my Nissan Patrol only if left in High gearing on non slippery surface, my E300 never did it, nor my G Wagon. My neighbours ML does do it, nor does my other neighbours F-Pace, nor Range Rover.
I fully agree with JBD, if this is a specific trait of this model then they should make customers aware before they buy it. If Mercedes asked me when I bought my GLC43 AMG whether I would like a car that violently shakes, and makes noises when I use the steering wheel more than half lock, my answer would have been a big fat NO.