Every manual (especially direct shifting) I've owned acts the same way when cold. Once the tranny has warmed up it will smoothe out. Even a tranny with miles (mine had 20K+)is notchy when cold. The cooler the environment the worse the condition. Don't worry too much just enjoy it!

 

My tranny is very notchy when cold too. It usually goes away after it's warmed up. However, it is also notchy even when the car is wamred up and I'm shifing at low RPMs. You are definitely correct in assuming that the car shifts better at the high RPMs.

By the way, sometimes you might get a "clunk" sound when shifting between the gears. This is perfectly normal.

 

Knotchy feeling going away after putting miles on really only means....transmission gears teeth are wearing down. Which doesn't necessary mean bad. Just more rounded for easier engagement.