I would guess the heatshield is rubbing against the OEM rotor drum. What happened to me was I cut the rear shield. In the process I bent it forward slightly. Found out I had an issue with a mounting bracket (used kit) so I have to reinstall the OEM brakes. I pulled out and there was a similar noise as you described.
I just bent what was left of the heat shield back.
2015 F34 328iX GT Glacier Silver
2011 E90 M3 Monte Carlo Blue
2004 E46 M3 Imola Red