I have recently bought a new 2014 kx250f, on my second ride it began making a strange clicking noise in the low rpm. It only makes this clicking noise while the bikes motor is put under stress not while at idle.

 

from what youre saying it sounds like your having the same problem i had and it was the shims and timing chain .... re shim the valves to spec and see if that helps it might be a worn timing chain too just check if the tensioner is tightened to spec if yes try moving the chain up and down in and out if it does move with out applying allot of force it has worn out