Call your dealer to see if your Mule came with power steering. If you don't have power steering, then hard steering at slow speeds is normal. Low tire inflation pressure (which is normal on ATVs & UTVs) also tends to cause hard steering at slow speeds. Badly aligned front end (toe, camber, caster) will also cause this issue as will bent steering components (was this a dealer demo that might have been abused?). Since your ride is new, I don't think lubrication is your issue unless someone didn't do their job at the factory.