I'm surprised how poor I-Beam is in torsion,
In use I beams need to be laterally restrained other wise they will fail way before the design loading has been reached because of Lateral torsional bucking (LTB) and is were the the beam literally rotates under load (due to poor tosion capabilities) and the advantage of the I beams strength (Parallel axis theory) is lost. Of course I'm talking buildings with mega loading, but might apply to to cnc if the I beam is small enough.

As I'm sure you know, for the best stiffness to weight ratio in both bending and torsion you basically want to move the material as far away as possible from the neutral bending axis (and have a closed section for torsion), which means ideally a round tube
Another advantage is that you can reduce the wall thickness and go up in diameter to achieve a strength gain but no increase in weight.

I'm also interested in the idea of placing bearings close together - I have been designing to get them as far apart as possible working on the principle that it's not expensive to make the axes a little bit longer and it will reduce the effect of any flex in the bearings. It will also let me put the leadscrews in a convenient position rather than the best place to minimize the forces on the bearings - any comments?
Not sure its a good idea to just 'want' to put the bearings close together. you need to look at the whole system as one change can affect over aspects and cause all sorts of problems. More info needed

Of course if you are talking linear bearings then you just need to design within there spec and they are much more tolerant of mis alignment and binding than others. IMO Leadscrews/Ballscrews really need to be in the best position tho.