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.
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2018 F30 320iX Melbourne Red
2011 E90 M3 Monte Carlo Blue
2004 E46 M3 Imola Red
2000 E36/7 Z3 Steel Blue
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