Perhaps it is a sign of the amusement of the gods that after I make an allusion to how curiosity killed the cat, I should find a cat in my flat.
As it transpires, the moaning sound I heard from Vanitas' room was, yes, just a normal cat. It looks like she must have accidentally let it in (and then locked it in), since it bolted straight out of the door when I opened it. Of course, I locked Vanitas' room up afterwards. I wouldn't want to make her think I didn't do as she said, since that'd be bad.
I would have posted earlier but, I must be honest, I'm still adhering to the rules she laid out for me. I said I would, so...?
Now, off to work. Joy of joys.