In most marine G/boxes the gears are permanently engaged, so forward or reverse are selected by some sort of dog clutch. My guess, for what it's worth, is that it is a poorly adjusted selector cable. (as you thought)
Check it by disconnecting the cable from the G/box when it's hot and making the noise and see if it stops. If not, then engage forward and reverse by hand to see if you can stop/start the noise that way. If that does the trick just adjust the cable accordingly.
