I have a msi p67a-g43 b3 with g-skill sniper 1333 2x4GB ram. When I first built the system, it hard locked randomly, but passed mem tests. When I decreased the ram speed to 1066, the system stopped freezing.
Is there some sort of compatability issue between the parts, or do I have some sort of defective component?
There shouldn't be a compatibility problem but that may be the case here. That motherboard is more than capable of running RAM at 1333MHz and even much higher. Are these 1.5v modules? If not than the board might not like them.
Regardless of why you had to lower their frequency, leaving them at 1066 will not hamper performance noticeably. If it's stable now then you could just leave it unless another problem comes along.
Voltage has no direct correlation with performance. A module rated for a speed at a voltage can run at a higher speed with a higher voltage, until other factors become more important. Other factors can be a limit on how much voltage the motherboard can apply or the RAM modules cooling etc.
A 1.25v 1600MHz module with 9-9-9-24 timings will perform identically to a 1.65v 1600MHz module with 9-9-9-24 timings, assuming no other variables are different.
However, that same 1.25v module being run at 1.35v or higher will outperform the module rated at 1.65v because it has greater performance per watt.