Bizarre. So I touched up all the solder joints and re-tested - no change in performance.
I then erased and re-flashed the PICs again and voila, they seem to work. One obvious difference is that before the delay before flashing started, the flashes and the pause between flashes was very slow. Now it is very quick so something is different. Before and after results are the same for both units I built.
Also, I get 2 flashes for TX and 3 for RX.
So I'm guessing it was solder related but surprised it was the same on both boards and the odd flashing behavior.