Thanks Robin,
I tried gotmls and it's reported nothing out of the ordinary (well it reported some possible files - but they are all fresh install files - so they can't be the problem).
I've tried the 'Click to test connectivity to the Wordfence API servers' and connectivity has passed, I've used PHPmyAdmin to repair the database but WordFence still won't gain an API and non to the settings I select stick.
Here is a video of what I'm experiencing:
http://screencast.com/t/xTnjB2GaC
It's most frustrating, can anyone help me please?
Ian