Thats normal - this is due to the drag effect of the oil.
What happens if you turn off the engine, turn on the PTO and hydraulics and then try to turn the back of the PTO stub with pliers?
Normally it should not be able to rotate, if it does, there is a problem with the drive (clutch, for example).
It might be a stupid question, but I'll ask anyway:
- PTO speed is preselected? So 540 or 1,000 rpm?
- is the left of the two short levers in front of the seat switched all the way down?