Most new wheelsets I've gotten that have cup and cone bearings have the preload adjusted too high. You'll feel this not so much as a gritty feeling but a sort of cogging like the balls are jumping from one detent position to the next. To fix it you need to learn to adjust the cones and locknuts correctly and to get a cone wrenche to fit your wheels.
And since you're using a quick release skewer you'll want to get some blocks, washers or use some other trick that allow you to adjust the cones while there is the regular skewer tension on the axle. The skewer actually compresses the axle enough to matter.
When adjusted correctly the bearings should create a little bit of drag but not be so tight that you feel that cogging. When you release the skewer tension you may find that the axle has the tiniest bit of play. But that's OK because you'll never be riding it unless the skewer is tight.