So it seems that live and the switch output were swapped. Now I have:
Yellow in Terminal 1 (Live)
Red in Terminal 3 (Switch output)
Blue in Terminal 2 (Neutral)
and it works as expected.
(So basically the previous installer had put every wire in an incorrect terminal!)
I found this thread whilst trying to troubleshoot my Honeywell T6360 thermostat (http://www.honeywelluk.com/Documents/Installation-Guide/pdf/1151.pdf). The old one packed in, so I replaced it with the same. However, the old one had been wired as follows:
Red in Terminal 1 (Live)
Yellow in...