How can I put this... THAT IS SERIOUSLY F'D UP.
Here is the sound and wheel jerking. If you turn it in any direction other than straight, it makes that sound. If you turn it and hold it, this isn't full lock either, it will stop making the noise for a split second every so often and jerk the steering wheel. You can see it jerk the wheel when the noise stops.
You mean to tell me the dealer heard that noise and said it is normal? If they did I can not stress enough how you should find another dealer even to the point of driving an hour or more for one.