Mine just arrived and I mounted it to my frame just like the picture above (though, my lock looks slightly different... still the x-plus.)
It rattles just like every other attachment on my bicycle (including the chain when it's not taut). I think it's quite normal... it does have movable parts, after all.
I bet the rattling can be dampened by using a small felt pad wrapped around it or between the links, but I haven't tried this. Personally, the rattling doesn't bother me because I'm so focused on the ride and just being out on the bike.
If you carry a bag, putting it in there would probably stifle much of the rattle. Using a messenger bag would lower the load's center of gravity.
As for a bolt coming loose, if you can't fit anything of much strength (more than tweezers?) between the bolt and the link, it's probably not too loose. I can't see these links just falling apart in my own lock anyway... so unless you notice a significant separation, I bet the lock is fine.
Incidentally, did you mount it using the velcro straps or by screwing it into the frame using the mounting points? If you use the screws, it's possible that the lock is bumping against them causing the rattle, but then again, shaking the lock in my hand without other metal also produces a slight rattle. If you try using the velcro to mount instead, perhaps the rattle will be reduced?