Help with weird brake sound
 

So I just had my brakes done on my 21 SQ8 and the first time or 2 I use them almost every day there is like this thunking sound when they first engage. It sounds like something is sticking or moving faster than it should when gripping the rotor. I don't know. But after that initial thunk I don't hear it again usually until the next time the car sits for awhile then I usually hear it again. Does anyone know what it could be? Can new brakes be overly tight and stick or something like that? I had it back in the shop and they checked and lubed everything and said nothing is wrong but I still hear the sound almost every time after brakes have sat for awhile and it's making me nervous.