I purchased a jeanneau 35 last year and noticed the autohelm is overworking even in flat calm conditions.I've been told that it needs a rudder response unit fitted. My previous boat a 34.2 worked perfectly without ( same autohelm ).
I don't think the ST4000 needs a rudder sensor, but there should be a setup page on the control head where you can adjust the response time. I have a p70 which defaults to maximum (5) on startup. We will typically drop that to 3 for motoring and 2 or 1 for sailing (unless downwind and wing-and-wing). Check here Raymarine Manuals if you don't have a manual for your control head.
On my older ST4000, there are two ways to set the gain. One is very easy but is temporary, until you turn off the instruments. The other requires going through the setup menu. It will be the default power-up value.
Unfortunately, the user interface for Raymarine instruments of this age can be cumbersome, requiring you to press and hold one or more buttons for a specific period of time. Stick with it and make the change permanent if you find a value that works for you.
I wrestled with the multitude of calibration options on mine years ago and never got a satisfactory result until I installed rudder sensor inducator - which might not make sense in theory but in practise it’s a game changer to steering stability.
I also just purchased a Jeanneau SO 35. It might be helpful for both of us to stay in touch and see if we can help each other with questions and solutions. I am located in tucson AZ and boat is down in the Sea of Cortez. I have not splashed it yet as I am doing maintenance and service. I look forward to having another 35 owner to learn more and be helpful.