Could be at a higher rotational speed, the imperfections on the rotors don't show up. I'm not an expert, but the same thing happens with tire balance. There's always a speed that's ok and a speed where you get shake. Since the tires have been checked out and since this happens when you apply the brakes, it's the logical check to do.
The clicking on first applying the brakes, especially in reverse, is normal. I has to do with what some call "floating calipers". Also, I believe the ABS system self tests during the first brake applicatioin after startup. This also makes some clicking noises.
Don' know about the CD changer, but that almost sounds like a loose wire or speaker connection. If you can, pull the changer head unit out and check the electrical plugs on the back.