These engines are not counter balanced, so they do have a small amount of vibration, even when new.
The knocking sound is not normal though.
A stock XR200 with the valves correctly adjusted won't have any extra engine noise, in fact they sound suspiciously like a sewing machine!
Typically knocking on an XR200 points to rod knock. The small end of the rod is galled and stretched (lack of oil or to much over-rev), and the piston pin "slaps" against it at the top of the stroke. The noise will be most noticeable with the bike in neutral with the engine revving slightly, or as it's coming down from a higher rpm.
If someone brought me an XR200 to listen to, and it had a knock, we'd be able to determine the cause of the knock WITHOUT a complete engine disassembly. The head, side cover and cylinder would have to be removed, but that's it.
Take the new 200 to a different shop -- even an independent. Have them listen to the bike. Don't let them touch it though. Take it to another place and have them do the same thing. If both shops say it's nothing, then it probably is. If both shops believe it may be something wrong, then have them state it in writing (even if you have to pay them a few bucks), then take the information and the bike back to the Honda dealer.
Make them take a look at the bike.
BTW, if it is an engine knock from a loose small end - the bike will probably run for many years, but it is injured and should be fixed.