Are you sure that the key repeat is supposed to happen? (It doesn't on my iMac)
I'm also looking at a MacBook Pro and although the System Preferences show the Key Repeat is on, it does not do it either, although the Delete and Backspace keys do.
Call Apple and check with them, your machine is under warranty.
I recently purchased a MacBook Pro running OS 10.7.5 There's a problem with the keyboard in that it will not repeat a character when a key is held down. I've checked the Keyboards in Preferences and everything seems to be in order there.
Even though I don't do do it often, a $1,600 computer should come with no defects, if that's the case. Has anyone else had this problem?