Electrical – Ceiling rose with twin wire, no earth

You can use a block connector (you can bridge it - on one side loop a a wire into each terminal to make it like one big connector)

or You can use a twist connector

I was searching for something like this. But an insulated version- i found something in china but the problem is it will never be approved to use that on internal circuits due to high risk of electrical shock. These are used inside distribution boards only - and can only be installed by qualified electricians.

Any ideas on what could be happening?

You mistook a neutral for switched live

the blue switched/live black sleeve did fall off while doing this so cannot be sure it is wired the same

Looking at your photo if wired correctly you should have something like

 N-----N----N      L----L----L    SL---SL
 Lamp  in   out    in   out  sw   sw   lamp

Instead you have something like

 (N)----SL----(N)    L----L----L    N---(SL)
 Lamp   sw    out    in   out  sw   in  lamp

The lamp lights because you have reversed its N and L connections and AC bulbs don't care which is N and which L

Switching the walk-in wardrobe switch also turns off the bedroom light switch.

Well, we don't know if the wardrobe is before ("in") or after ("out") the room light. Miswiring the room light as above will affect the availability of neutral at subsequent lights.

There may be some combination of miswiring that accounts for the symptoms you report (though some aspects are not clear from your description)

The solution is to undo all the blue connections in the rose, keep all the blues separate and positively identify every wire (or more specifically, which of the three thicker blues is actually switched-live). You can do this using a suitable voltage tester