I notice this as well. Not that bad, but I do get slightly better finish in X and Y moves then on interpolated moves. Im guessing its most likely to be minor oscillations in the servo tuning. Might be worth trying to same test with less P/I gain or more D gain. Another thing that could be working against you is servo deadband. I found turning deadband off made noticeable improvement in surface finish on interpolated moves. I hear a tiny amount of dithering without deadband so now I get my M3 and M5 programs to turn servo deadband on only while stopped.
Could possibly be a rough thrust bearings or maybe even ball screw. My Y axis thrust bearing has very slight rumble in it. I wonder if this could be causing the problem on my end. Hasn't been enough of a problem for me to dig into it yet.