Like it has already been said. When the AC is switched on and you go in slow speeds (or stay in a single place) more air is needed by the AC and radiator fins to exchange heat. This results in the electric Auxillary fan in the front of the car to go in high speeds that is mostly probably why you feel vibrations. I too can feel the vibration in the steering column when it goes in high speeds. I dont know if it is a serious problem that needs immediate attention.
Arun
530i / Nikasil M60 3 Ltr Motor / ZF5HP18 (A5S 310Z) Tranny / Prod: March 95 / Fully stock / 95K miles