Ultegra di2 10sp nasty noise

Because you've stated that it happens in the "middle" of the cassette, I'd say that your most-used sprockets are worn. We've not had the driest past few months and it's quite feasible that your cassette has worn out in 2000 miles, particularly if you've not regularly cleaned and oiled the drivetrain.

So, it's time to replace that cassette. As you'll then have a new-ish chain and new cassette, time to invest in a couple more chains and run a chain rotation strategy, to get more life out of your cassette this time.

You got a spare wheel you could test again with?

new chain, old cassette is the problem I think.
would always recommend changing both together.

Points to a cassette issue for me.
New chain and then it starts playing up, 9 times out of 10 it's a cassette.
I always replace as a pair.

Was that the LBS that sold it to you? Because ultimately, under the sale of goods act, products have to be fit for purpose and perform as advised. This obviously gets a bit more complicated if a dodgy dealer just says "not my problem guv, you must have crashed it". What does the shop that sold it to you have to say? Are they just shrugging their shoulders?

Has it taken a knock? It seems quiet further up the cassette, is it possible the mech hanger is bent?

Given how new this stuff is, I'd just take it back to the shop where you bought it.

You know that KMC make alot of Shimano's chains....I would stick to KMC anyway

So did you switch your old cassette onto the new wheels?

Personally, I would never do this because putting something worn on a new piece is pointless. Especially with them being expensive pieces you have.

Is your cassette lockring tight enough?

Have you checked your wheel bearings?

It sounds more like that than the gearing or chain. I bet it makes the same noise when back pedalling?