This is a very strange problem, I have just installed the RCMixS ROM which is the Desire S ROM on my Original HTC Desire so I will have the same menus as you and I have trawled the whole phone and all the menus but I can't find anything like what you are describing. I have also Googled the problem and still can't find anything on it or anyone else who has experienced it.
However I have just thought of something that has given me an idea about what this strange problem could be... Before I tell you I would just like to say it's only a thought and I may be wrong but it seems like the best explination, Here goes...
I remember seeing somewhere ages ago that many people with older HTC phones such as the Hero, Legend, Droid Incredible in the USA & many more reported their devices playing 5 beeps, vibrating & blinking a green LED but not having a notification... It turned out that this is the phone's way of telling you there is a hardware fault. As I said I may be wrong but that's the only thing I can think of and it is very similar to the problem you are having. I remember you said yours doesn't blink the LED, it just vibrates and makes the 5 beep sound, this may be the same hardware error notification of those other phones but slightly different as the Desire S is a newer handset hence why its only vibration & sound with no blinking LED. I really do hope that it's not a hardware fault as you would have to get the phone replaced or repaired. But remember I may be wrong, but what your having is so similar to that hardware fault notification where there is 5 beeps, vibration and NO notifications on the screen.
I know you don't want to have to do this, and neither would I but the only way to find out if it is a hardware fault yourself is to do a factory reset.

If after the factory reset the problem is gone then it was just something to do with software or a setting. But if after factory reset the problem is still present then it's 99% likely to be a hardware fault like I stated above.
I really do hope it's not a hardware fault but that is the only thing I can think of
Please do let me know how you get on and if you do decide to factory reset to try and fix the issue or to see if it is a hardware fault.
Very best of luck!! I hope I have been able to help you even if just a little bit
