It is not good to run the engine when the leg is up as the shaft is still turning even though you are not in gear, this can can cause possible damage and a big no no on certain makes (volvo). As to the vibration when the wheel is turned, this sounds like your hydrolic steering pump and believe this to be ok although the fan belt may slip and start squeaking. You can hear this slight rubbing sound on your car if you turn the wheel to one side(the pump is working hard) hope this helps.