Did the whistle sound just like the turbo sound under load? If so then it's normal, the exhaust brake slides the vanes and basically closes off the turbo, but the exhaust still has to get out. As a result, the turbo does spin up and generate boost while the EB is working. You should hear it 1-2 seconds after the EB engages. Sometimes it's hard to hear, it all depends on the sound conditions.
With your S&B intake I'm surprised you don't hear the turbo whistle every time the EB comes on.
2007.5 3500 MegaCab SLT SRW 4x4 6.7L, 68RFE w/ Mag-Hytec, XRT Pro, Diamond Eye DPF Delete, leveling kit w/ Bilstein 5100s, SnugTop Rebel shell, Insight CTS, Hell Bent Steel SBS - SOLD