The sound might be coming from the cooling fan, which is a part of the bi-LED solenoid, integrated into the harness. This is how the fan looks like.
View attachment 317822
If its confirmed that its the fan, then the bearings might require some oiling. Nevertheless, I would suggest you to insist on the dealer to replace the entire unit, since you are in warranty. Mazda's signature lighting has a horrible configuration for its DRL. It always keeps the headlights on, no matter the conditions of the day. This will reduce the lifespan of the headlights and will cost a fortune to replace them once the lights are out (estimated price for both headlight unit replacement is $3000 to $4000)
I simply pulled out the DRL fuse from my vehicle and I turn on the parking lights in case I need DRL during gloomy weather conditions.