Well you are all wrong about how your tranny works. It should start in first gear. Only gas models start in second.
As to the click, I'm not sure. Is this a sound you here with the key on engine off? I can't imagine hearing a click from a trans solenoid with the engine running at full throttle. If you hear it KOEO (key on engine off) then that too is appropriate. The kickdown solenoid engages with the throttle to the floor.