This isn't necessarily "wrong" so much as it is annoying (although it could be an issue in some cases). Power supplies and regulation on devices like this use a "
switching mode" power supply. This consists of rapidly pulsing power through a magnetic coil at a high rate (a rate which happens to coincide with the frequency of the whine you hear). Often there will be more than one coil, and "whine" might get worse when two or more coils "
heterodyne". As power requirements change there will be increases or decreases in the current through the coils, and under load it is more likely to become a stronger magnet (which in this case also acts like a speaker without a speaker cone). Some manufacturers will use something like glue to encase the coil and reduce the noise. That glue can sometimes dislodge and allow noise, but it is also not unusual that the coil is never encased like this to help in heat dissipation. If the glue came loose, then this would be an issue, although likely it wouldn't stop function. I use some GPUs which were once considered power consuming (Titan RTXs), but you'd never hear the coil whine because of the fan noise (it isn't much fan noise, and the CPU is water cooled, but the noise is sufficient to mask the whine in this case).