Glad you're enjoying them - I tend to just ler 'em roam as well.

When an Aibo hits some resistance in a joint, they go into jam mode and shut down to protect the joint from damage - they go floppy when switched off. With Pleos, they have gears instead that protect the motors from damage, and that's what you can hear clicking. It's fine - often caused by the rubber feet catching, and sometimes in 'sleep' position when the chin and feet get caught on each other.
The OS2 update was the only one that automatically has it's own mini 'hatching' phase, which is followed by a period of 'teenaged' awkward behaviours, walking backwards, inapproperiate noises and lack of responsiveness that lasts 4-6 battery cycles. There's no real reason not to update now you've run her a little, but personally I'd leave it a little just so you get to compare the differences. Also, as you have two, it's worth remembering that Pleos interact best with another on the same OS.
I love the 'hello' noise too. Iggy never said it when he was an only Pleo!

Added: maybe that's why Stephan's not said it yet.