Some of this stuff looks minor to me and things I would take care of as part of new machine clean up, inspection, and setup.
1. Loose screws, smashed way cover, casting voids - okay annoying so be annoyed then have CO send out a new way cover and tighten the screws. Yes the casting voids are cosmetic warts, they diminish the hey look at my shiny new machine experience but they are only cosmetic. If the machine checks out in the really important areas I wouldn't go through the trouble of sending the machine back just for a cosmetic flaw. I also have a few voids down in the bottom of my T slots, my opinion was okay that's CHINA in this price range. The void on the front of the saddle, yeah pretty annoying but again not worth returning the machine imo.
2. Y axis stiff to turn - First was the Y axis cleaned, oiled, and adjusted properly? Ways, saddle, gib, ACME screw, brass nut? This is part of the new machine setup and if done the ACME screw or nut would have to be defective for it to be stiff. Also I would make sure the Y axis gib locks which hide under the table did not jam/bend when the table was cranked forward, don't ask me how I know this can happen (face palm).
3. X axis clicking, that's pretty weird. I'd make sure it wasn't the crank handle. I have had that entire assembly apart, there's not much there its pretty simple. Some precision ground spacers and a couple flat thrust bearings. After cleaning and adjusting the brass nut for zero backlash I'd check to see if there was any backlash in the crank handle.
Side note on X, Y axis ease of cranking. This may be an area where CO is damned if they do or damned if they don't. If they leave adjusted loose and easy to crank people complain of backlash. If they adjust them snug to reduce backlash when they thing is packed full of sticky shipping grease they may not crank easy. Just saying.
4. Shifting into gear difficult - as a new machinist he may not know that you have to turn the spindle a bit to engage the gears when changing gears and let the lever find its spot. Those levers are not precise with the front panel, put in gear properly the lever may not line up exactly with the marks painted on the front panel. It sounds like its not centered on the gear and rubbing on another gear. If you can engage the gear properly and there's no rubbing/clicking on another gear, but the lever isn't exactly centered on the front panel indicator then no big deal. If it continues to grind on another gear with the lever wobbling then okay, something is wrong there and I might be looking to return the mill. As for the shift lever rubbing on the front panel mine does that to, that's not exactly a precision fit. Clearly they could machine some off the back of the lever or use a thinner front panel to create more clearance but its another cosmetic issue. Design you're own thinner front panel with FrontPanelExpress software and pimp that mill out!!
5. Electrical - This is one of my zero tolerance areas, the electrical should be 100% perfect out of the crate. High quality cord locks of the proper size cost like $2 for crying out loud. And use some good quality rubber flex cord. And make sure all the terminal nuts are tight and crimps are solid. Its not just CO I have had to go through quite a few machines electrical fixing and tightening shoddy work.
Putting things into context - this mill is made in China and cost $2,350. Personally I have learned to lower my expectations of machines from China in this price range so nothing much surprises me. It still irritates me but I just plan to have to fix and adjust things and overlook some cosmetic flaws. There are a couple of important design differences, the CO 12z for example gives you the largest work cube in this price range at 12x26. Compare that to the similar priced Grizzly G0755 at 8 x 17. The Z axis saddle is also massive, longer engaging a lot more of the Z axis ways and the round contact area where the head engages the Z axis saddle is both much larger and thicker e.g. more rigid than on the Grizzly.
The most important areas to pay attention to on these benchtop mills of any brand, the real deal breakers for me are is the table flat and are the ways ground straight and true. These machines are notorious for crap ways with tight and loose spots.
If you think these kinds of things can't happen on more expensive machines...my brother and his company are going round and round with Mori Sieki on a brand new $200,000 CNC lathe, the Y axis is rusting and pitting badly.