Yeah the PSU is semi-defective, as it likely 'works' fine, and probably will continue working fine for the same amount of time as any other PSU. If you can't stand the noise, call the PSU manufacturer; if it doesn't bother you, it won't hurt anything and your PSU will likely live a healthy life.
There changes in pitch are due to the changes in load level on the noisy rail, the noise itself is 'coil whine' due to a slightly loose or malformed inductor coil, it's pretty harmless. More than likely it slipped through quality control by mistake or a coil got jarred loose in shipping, and they should replace it for you if you complain.
Anyone care to confirm that coil whine isn't going to affect the life of the PSU? I have encountered it at work, but never in a PC PSU