So a few issues with this new (to me) S40 2L. Note that I am in the UK so its a 2.0L Mazda/Ford engine with a camchain, not a cambelt. Anyways the vid will explain it best but:
1. Annoying trim rattle somewhere behind the centre console
2. A much more annoying rattle somewhere in the engine bay, as seen in the vid turning the wheel for whatever reason makes it go away and come back
3. Turning AC on makes a bit of a high pitched whining sound as I tried to show toward the end of the video
4. Aux belt or something is very loud on a cold day, sadly I couldn't demonstrate that in the vid because it's warmer, but it goes away as the engine warms up. I wouldn't describe it as a squeal, it's hard to describe really.
Any ideas and is it safe to drive like this? Thanks

Here it is on a stone cold start:

Here it is after warming up:

 

Hello and happy new year.

Got the exact same engine on my 07 s40.

• The hissing noise you hear when you turn on the AC is normal, but if it's hissing for too long make sure that you don't have any leaks in the system and check that it might need a top-up.
• Mine was doing the same noise on the accesory belt, after a while the belt tensioner went out and had to be replaced. Recommend to do the belts if you need to change it in the future.Also worth to check water pump and alternator clutch just to be on the safe side.
• The rattling noise appears on mine also,but not as bad, especially when is cold and the rpm's are sitting arround 1000. I can notice you're is around 1000 and the when it slightly drops the rattling dissapears.
• Mine does not dissapear sometimes untill the engine reaches the middle mark on temperature and the rpm's drop at 900.

The car was rather shaky as well which amplified the ratling.
Proceeded to clean the throttle body and the MAP sendsor and it's much better.
Will clean the EGR soon but i am waiting for a dry day because it's a bit tricky to access.
Map sensor is hard to reach also because is a the back of the intake manifold and the radiator fan is in the way and space is very limited .

The reason why it stops rattling when you turn the wheel is because of the load, as you stated .

Hope this helps, have a nice evening