Ok, CPU first:
It has EIST and Speedstep enabled in BIOS by default, and they are very useful when idling and not doing much cpu-intensive work. Saves money ; )
When you jump into a game, or something very cpu intensive it will immediately clock up to full speed if it needs to.
If overclocks become stable however, these features may be the cause.
Memory: DDR2 is double data rate, so for every clock cycle it can send 2 pieces of information, so 533Mhz may be the true speed of the memory, but you have to double that number to get effective speed. So your memory is indeed running at 1066Mhz (533x2).
Hope this solved your worries, your pc is working just fine ; )