More then likely this is one of two things. First it could be the starter that is disengaging and it is clunking. The second and most likely is this is a clutch pack inside the transmission. When you start the vehicle your transmission pump is pressurizing the system and it is most likely putting pressure into a clutch pack when it should not and this is causing the clunk noise.
When you set the parking brake, it is not putting any pressure on the parking pawl so it could be quieter due to not as much stress on the transmission.
I have seen this before on Grand Cherokee's that has the same transmission as your vehicle. There is nothing wrong with it and it will not hurt anything so I would not worry about it unless you get it to the point where it is doing it more often and you can duplicate it to a dealer. Your vehicle should be under powertrain warranty for a while so I would just keep an eye on it and if it gets worse take it in.
If you would like to try and confirm this, can you get a recording of the noise and I will see if it sounds the same as what I have heard? Thanks
Here are a couple of guides that will help with these different types of noise. I don't think it matches your issue but it may help others that visit this page.
https://www.2carpros.com/articles/engine-noises
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Friday, January 8th, 2021 AT 4:26 PM