99 Protege Transmission slow to engage
 

We have a 99 Protege with a 1.6L. When first driven the transmission is slow to go into drive. We start the car, typically sit for a moment & it drops right into reverse. After backing out of the driveway when dropped into drive there is a 15-20 second pause before the transmission engages. Fluid level is fine & has been maintained. After being on the road the hesitation does not present itself. The hesitation also occurs if Drive is bypassed and L2 or L1 is selected.
Any ideas on the cause or where to begin checking for possible issues? Th OD light had not blinked or anything to indicate a code is being thrown, no check engine light except for the code we get for the EGR valve.