By consensus of the other posts, it seems that alot of the 4.0L SOHC do this. It's not going to damage your engine in anyway. Your engine has little to no oil in it after an oil change. Thus without lubrication there is going to be some top end noise from not having any oil until the engine is able to obtain correct oil pressure. You could try filling the oil filter up 3/4 full then cranking over the engine. Just make sure that you only put in 5qts. Don't put all 5qts on top of the engine then add oil to the filter from another quart of oil. This will cause a fouled plug or busted head gasket b/c of too much oil.
However about the noise coming from the engine after letting it sit is kind of the same scenario. Depending on how long you let it sit, such as parking the truck at 8am and starting it back up at 5pm to go home. After the engine cools the oil will drop out of the heads b/c of no oil pressure b/c the engine is not on. Thus again it may take the engine a few seconds to regain proper oil pressure and lubrication so there might be some "knocking" sound. My truck always does this after sitting at home when on vacation for a week and then starting it back up on the day of return to go somewhere and a dry knocking sound will occur, but it goes away in less than 10 seconds.
I have changed my oil (every 4,000 miles) from 30,000 to 100,000 miles and have never filled the new oil filter up before installing it; I have had zero problems with that and prob never will.
Hope this may answer or at least comfort some questions you have.
-2011 F-150 Lariat: 5.0 "Coyote" V8, 6-spd Auto (6R80E), 3.73 ELocker. White Platinum Metallic Tri-coat.
-1992 Ford Ranger: 4.0L OHV, 5spd (M5OD-R1), 3.27 Open.