that cylinder looking thing is a transistor/capacitor i believe? in which case, i would say no the copper line doesn't need to be attached to it. i agree with the first reply, most of my cfl's sound like that when i get them.
-edit- just read you did try it before you took it apart.
oh and, you said you got it in the mail. but you accidentally uploaded a screenshot of the box. tell me you didn't mail order a 42W cfl with a grand whopping total of 2700 lumens, then paid for shipping on said product? you do realize those are in 3 packs at your local walmart for around 12 dollars?