ive owned a fair few turbo cars in my time and turbo spool noises are common... the tell tale sign of worn turbos is blue smoke on idle.. if you rev the car and then let it settle on idle and blue smoke comes out of the exhaust...chances are thats the turbo seals/bearings.... There is very little else that go wrong with turbos other that this... the ceramic blades can break up.. but other than that....
I really would'nt be too concerned... ive owned 3 saabs previously, all turbos and they hoot... and my volvo 480 used to make a pishhh noises...and it was'nt fitted with a dump valve... it was just boost being vented through the wastegate...