Like ElGuappo mentioned earlier it's their natural behaviour to stay close to or in their anemone host once the hosting behaviour is established. My Maroon pair does not stray more than a foot from their BTA the majority of the time, in fact I hardly ever see the male since he spends all day behind the rock the nem is on. The female spends most of the day a few inches away defending the territory. Every once in a blue moon both of them go for a little 'walkabout' in the tank, which as you say is very cool to watch. At lights out they're both nestled snugly in the anemone.
I really doubt that any noises are bothering them. Enjoy the time you see them roam when the equipment is turned off, but I'm not sure they would do that long term. Having the equipment off too long could be hazardous to the tank's health.
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