If it is under warranty, let them look at it.
If not, how long since last cleaned?
When I do a clean of my Rocky, I follow the instructions from coffeegeek http://www.coffeegeek.com/guides/cleanrocky which has the re-alignment of the burrs as one of the last steps (obviously).
Essentially, there seems to be a bit of play in the position of proper zero on the Rocky. Mine goes to about -2. If you proper zero happens to be around +4, then there might not be any real issue (apart from the numbers being out of whack).
If your grind is not fine enough and its making these noises, yes there might be an issue.