Does vitamin D form crystals in the blood with calcium and magnesium?
Vitamin D does not bind to Calcium. It is a pre-hormone which is converted to calcitriol. Calcitriol has an intracellular receptor (VDR) that, as a heterodimer with Retinoid-X receptor, regulates gene expression.

I guess the "should not be had together" is because of possible over-absorption of Calcium. There are commercially available supplements (e.g. 1, 2) that have Vit-D + Ca + Mg.