The lamp is resonating under the frequency that is being generated by the electronic ballast.
Electronic ballasts generate lamp current at a high frequency, anywhere from a few KHz to a few dozen KHz. Humans generally can hear frequencies up to about 20 KHz, which is right in the butter zone for electronic ballasts and can be perceived as a very annoying high pitch sound. If the lamp shakes in step with the supply voltage, it'll act like a speaker producing that sound.
This happens occasionally and is a freak occurence that happens when a certain lamp is put with a certain ballast. The lamp is definitely what is making the noise, but it is not certain that it's the lamp's fault.
The problem might go away after the lamp burns in for a while, or it may not. A new lamp may make it go away, it may not. Frankly, due to the unknowns in this, and being that the fixture is new, I'd just return the whole thing and get a different one. Your return policy could expire waiting for the problem to fix itself only to have it never go away.