Power supply whine noise
IIRC, analog write on Arduino uses PWM (pulse width modulation).
The whining noise you hear from the power supply might be because of the PWM.
The voltage you measured between common positive and red negative of the LED strip (I assume that is what you measured) also sounds reasonable.  If you measure DC voltage with a multimeter, it will measure the average voltage.  If you switch the meter to AC voltage you should see some voltage.  The DC voltage is 12 V only when the color component is fully on and 0 V only when it's fully off.
If nothing else seems out of the ordinary then it's normal.