Well, I don't think it's so much a matter of those animals going where humans live as it is a matter of them simply being omnivorous scavengers capable of surviving in human-dominated environments. A leopard, for example, will have no gazelle to hunt if the gazelle can't chew on grass because all the fields are fenced in and growing lettuce, or all the fields are paved over in asphalt.
Hence, they don't "appear" so much as "are the only things left" - of course, not having any predators and having a readily available food source will cause a rat population to explode. (Which is why there are cats...)
I would rather say that, instead of there being some pest that is specific to goblins, and one that is specific to dwarves, there are "civilization adaptable" creatures.
The only one of those creatures I can think of that actually directly benefit (as opposed to simply manage to scavenge off the edges, and enjoying a paucity of predators) from human habitation is the cockroach. They are susceptible to the cold, like many insects, and will die off in the Winter without human homes that not only keep out the snow, but also are heated, and hence ensure plenty of cockroach eggs survive Winter's freeze so long as they are within a house.
I should also point out that almost all of those creatures you mentioned are vermin (only the fox isn't), and vermin are pretty much omnipresent in DF, anyway.
(It's always annoyed me, though, that only cats are vermin hunters, and vermin hunters hunt ALL vermin - you should have to use something else, like frogs or bats as insect-control creatures. Speaking of foxes, they are capable of being vermin hunters, and they are tamable, if exotic, creatures, even in real life.)