Update
Hi
I worked through the Shimano Dealer Manual carefully, and again setup the Ultegra front derailleur step-by-step. Shifting while the bike mounted on workstand appears ok, except for some cross-chain combinations that cause chain rub.
Small chainring (36) and the two smallest rear sprockets cause chain rub, but third sprocket is ok with small chainring. All other combinations work fine. I road tested the bike this afternoon with same results.
When chain is on large chainring (52) and largest rear sprocket (30), there is no chain rub on the derailleur cage, but chain definitely makes noise, but I checked the distance between chain and derailleur cage, and confirmed about 0.5 mm clearance. So just chain noise.
So overall working as expected, just not with a couple of the cross-chain combinations that I would not use.
Thanks for input everyone...