Some power supplies may make a high-pitched sound when connected and in use. This is not dangerous, only a sign that the coils or capacitors within the power supply are physically resonating. There is an article about this phenomenon here:
https://www.corsair.com/us/en/blog/coil-whine

The above article is in general easier to understand than the wikipedia article:
https://en.wikipedia.org/wiki/Electromagnetically_excited_acoustic_noise_and_vibration