TL;DR: the dimmers aren't switching off completely: they're allowing some current to leak through, which is why you're seeing a voltage across the CFL. A different make of bulb may behave better with the leakage current that you're getting. Or perhaps a different brand of fan (if you haven't installed them all already).
I do know that operating CFLs in those sort of conditions will shorten their lives considerably, so you might actually be cheaper for you to use incandescents instead (a quick calculation says about 12 kWh per year for a 60 W bulb).
Read on for the technical explanation...
This is a circuit diagram of the innards of your fans:
The voltage across the bulbs, Vb is determined by the formula:
Vb = Vin * Rbulb / (Rdimmer + Rbulb)
where:
- Vin is the mains voltage (120Vac or 240Vac depending on country).
- Rbulb is the resistance across the bulb or bulbs.
- Rdimmer is the resistance across the dimmer.
The dimmer is a solid-state electronic circuit, so it has a very high effective resistance -- 10s of megohms is not unreasonable. Ditto for the control circuitry in the CFL. An incandescent bulb is a simple piece of resistive wire; a 60 W / 120 V bulb will have a resistance of 240 ohms.
Now, suppose the dimmer has a resistance of 50 MOhms and the CFL has a resistance of 10 MOhms; plugging the numbers into the equation above gives you 20 V across the bulb. OTOH, the voltage across a 60 W incandescent bulb will be about 600 microVolts, nowhere near enough to make the bulb glow.
If you have two bulbs in the light fixture, the resistance, R, of the two in parallel is given by:
R = R1*R2/(R1 + R2)
So if you have a CFL and an incandescent installed, the effective resistance is going to be very close to that of the incandescent alone:
R = 10,000,000 * 240 / (10,000,000 + 240) = 239.99 Ohms
Again, not enough to turn on either bulb.
With two incandescent bulbs, the effective resistance is half that of a single incandescent, so you have half the voltage across them.
The flickering you see with two CFLs is because the light you see is basically a high-voltage spark through the tube. The CFL contains circuitry to amplify the incoming voltage up to the point where the spark can occur. Under normal circumstances, the input voltage is enough to cause this spark 100 or 120 times per second (depending on mains frequency), which is far too frequent for the human eye to notice. With the reduced input voltage, it takes longer to reach the required voltage, so you notice the flicker. No two bulbs will be exactly identical, so they'll flicker at different rates and take different times to recover between discharges.
So I cut the diagram out of the PDF instructions
The reason for the red and yellow is that this is really two switches. The yellow is for your light and the red is for your fan. There's two for each, should you want to 3-way both.
The catch here is not the 3-way setup, but how you will get two hots to the box. You need one hot for the light, one for the switch and your neutral. Assuming you do, you'll take the yellow wires and attach them to the white and red that the previous 3-way used.
Best Answer
To dim a light, you decrease the amount of power. That can be done by lowering voltage (works well with some things but not others) or limiting current or by only supplying power part of the time - e.g., by changing the waveform (as noted by Harper). Some of these same "tricks" work fine with motors, but generally speaking modern dimmers don't work well with motors - or rather, the motors don't work well with the dimmers. There actually have been issues even with some lights - many fluorescent and LED lights do not work with dimmers and it is always best to make sure that a light bulb (unless it is incandescent) is specifically designed/tested to work properly with dimmers.
How does the 5-speed fan switch do it? It may be variable voltage (e.g., different taps on a transformer) or current (some sort of limiting device) or some other method, but designed specifically to work with the fan motor. Dimmers for lights simply don't work the same way.
If a light dimmer does happen to work with a fan (or other motor), I would watch out for overheating and/or lower motor life.