In fact, it is a late 2011, not an early 2011 "New Old Stock", so you're correct it shipped with Lion. But, aside from its weird ergonomics (Dynamically-attributed spaces and different gestures from the previous OS X versions), what turned me off was the official complete impossibility to get a physical copy of Lion at a reasonable price, when it is installed. I also wanted the mounted drives to appear at the top left corner in Finder windows, as they did in pre-Lion OS X, instead of the bottom left. I wanted to put back the Firefox profiles in their place... Turns out the Library folder isn't visible in Lion.
Simply put, anything I wanted to do to start on the good foot wasn't possible on Lion.
I went to the Genius Bar, and indeed their own external rescue drive also made the Mac beep. I told them about the Snow Leopard tethered downgrade. They were aware of the method, but there was no Snow Leopard Mac remaining in-store. And with the install DVD causing kernel panics, there was no way to at least try a dual-boot installation (Snow Leopard for mission-critical apps, Lion for playing around with).
To another Apple-approved place I went. The young tech here was willing to perform the downgrade (since it would have cost me $75/hr), and had both Snow Leopard and Lion machines. But I argued that I wouldn't be willing to pay twice since I intend to switch to SSD in a short while. He then tested when booted from a clone, and Snow Leo half-installed on the internal drive (needs one reboot during installation), but it ended up in kernel panic. Same went when he tried the physical Snow Leopard disk after formatting the internal drive, hypothesizing something detected on it may prevent Snow Leopard installer to boot. It immediately went into a kernel panic.
Both techs were actually surprised that this signal came out, instead of a message stating (official) incompatibility, as well as kernel panics.
My hypothesis is there's something in the Snow Leopard installer that accesses the hardware at a lower level during installation, but not during normal execution or Target Mode, hence causing kernel panics in the former.
What else can be tried, or what else didn't go through my mind?