I get a bit of a pop/click when I change my stepped gain as well, and I would lean to it being a slight click rather than a loud pop. It's something I haven't found a way to edit out cleanly, but at the same time it's not something I lose sleep over.
Keep in mind you said this was your first run with it, over time you will know in what type venue/show to have the stepped gain pre-set at, and 99% of the time it won't be an issue for you, as the trim knobs will be more than enough to keep your levels in a happy range. W/ my mics I know I never have to be above the 3rd step(un-amp'd acoustic aside), some venues/loud nat acts I know not to start above the 2nd step...way FOB/stage-lip I only start at 1 step up, my mics(mc930's) have a hotter output than other mics though, so your mileage will likely vary. The key IMO is do not start out too hot...if you start low you can always wait for that first break in the music to jump up a step or 2 if needed, and your editing will be much easier without having to deal with it in the middle of a song.
Like Kyle though, there have been times when I have made the stepped gain adjustment without a noticeable click, so there is likely something to the "moving them a bit, to clean em out" method. Good luck, it may be worth dropping a line to the grace boys just to see if they have any fresh thoughts on it, and if sending it in would help or not.