Larry's got it, I think. Picture a big nut on a coarsely threaded shaft, with steel balls inside it that run in the grooves- if the shaft is held in place properly, the turning action begins as soon as you begin to turn the steering wheel. But yours is free to move up and down, so it takes the first turn of the wheel to move the nut from the bottom of the steering box to the top, and THEN it starts steering.
Good idea to fix it sooner, rather than later- because some of the balls could fall out and jamb up the works, making it impossible to steer. Could be disastrous if you're on the highway with it.