I speak from personal experience with the mechanical vibration. My parents had a fitting in the lounge for years that would from time to time make noise. It actually used to be used as an indicator that one of the bulbs was about to pop.
In terms of the cable coming through different openings, if the conductors of each fitting are twisted together so they follow one another, the magnetic fields should cancel each other out for that pair. If they aren't twisted together and they follow different paths within the fitting then it may be possible for an electromagnetic affect to occur between them.
It may also be possible that an electromagnetic affect occurs between different pairs as a result of minor variations in the current flowing in each fitting. As magnetic field strength is proportional to current, there could be an interaction between the different pairs.
The other option is that simply when it's not mounted, you've not got a sounding board. When it's mounted on the bracket, and thus bonded mechanically to the ceiling, you have a much larger area that can vibrate and thus it may become perceptible, much like the sounding boards in violins and acoustic guitars amplify the vibration of the strings.