Microcantilevers are increasingly being used to create sensitive sensors for rheology and mass sensing at the micro- and nano-scale. When operating in viscous liquids, the low quality factor of such resonant structures, translating to poor signal-to-noise ratio, is often manipulated by exploiting feedback strategies. However, the presence of feedback introduces poorly-understood dynamical behaviours that may severely degrade the sensor performance and reliability. In this paper, the dynamical behaviour of self-excited microcantilevers vibrating in viscous fluids is characterized experimentally and two complementary modelling approaches are proposed to explain and predict the behaviour of the closed-loop system. In particular, the delay introduced in the feedback loop is shown to cause surprising non-linear phenomena consisting of shifts and sudden-jumps of the oscillation frequency. The proposed dynamical models also suggest strategies for controlling such undesired phenomena.