Even though you installed the cassette as a unit you might check for presence and correct position of all spacers; some of them are quite thin and maybe not apparent to a quick look. Is there perhaps a leftover one behind the cassette?
Did you get the jockey wheels in the correct positions? IIRC Shimano are different top and bottom, the upper one has more sideways "float"; could you have gotten them backwards?
Is the chain directional and if so, installed correctly?