I have use them quite a bit, particularly a lot when I was working on Snow White and the Huntsman. The are useful while concepting, but they are very very finicky. I have had something like what you are talking about, only instead of them turning in on themselves I would get random 'pops' of joints. Hard to explain, but you'll know what I mean when it comes up.
Is it actually the joints moving or is it the mesh that is folding in on itself?
If the joints of the fingers are rotating while you're actually rotating the shoulder, from what I found there is not a whole lot you can do to fix it besides actually deleting those spheres far enough up the chain and recreating them. So if the in your case I would pretty much delete the arm and recreate. Its vitally important as you are creating the rig to be test rotating the joints as you go along. Not every one per se, but if you create the legs I would test them before going onto the arms to make sure its 'stable'. As you test rotate, just ctrl z to get back to default or make a layer, test, then delete.
Hard to say what the cause of it is. In using them I've run in to all sorts of strange issues that I feel like go unexplained why it happened. In your case its possible on creation one of the base zpheres got rotated in a weird way. Also recommended that when you actually use it for posing always use layers. Several, actually. I try to use layers for sections of the body, incase I ran into an error or the popping I could start that layer over without losing the rest.
hope that is useful,
Nic