Particularly on vehicles with four wheel drive, a degree of scrub at the front wheels is not uncommon when at full lock due to the tight tolerances of the suspension and driveshafts, which would also explain why the issue disappears when the vehicle is warm as gaps between components may open up fractionally with the increase in temperature. Wheel alignment may help to reduce or eliminate the effect, but you may wish to avoid applying maximum lock when the vehicle is cold to reduce any potential wear.