Hi Mark,
Really sorry this is giving you a headache.
Don't know whether this helps, you are correct the MySQL database has one other database in it. My site used to have word fence installed, and it was running OK. To be safe I took all the plugins out and dumped them, did the same with my theme and then ran the WF assistant to clean up. So I can confirm the tables for WF do not currently exist.
Could I still have some malware code that doing as you say, changing the $wpdb handle to point elsewhere thus preventing WF from activating? Would it help if I sent you a DUMP of my database?
I presume running the install of the plugin and activation again should generate the tables? What about if I run a query to generate blank tables and see if the plugin locks on to them that way?
Do you have the query to generate blank tables you could send me please?
Ian