Well, seeing as though no-one has replied yet, either through the forum or via a support ticket, I thought I'd have a go at fixing it myself :)

Turns out if you want to provide your own customise sheet that's derived from CXTPPropertySheet (like in the samples), you need to provide an override for AddPage

void CustomisePropertySheet::AddPage(CXTPPropertyPage* pPage,int nIndex)
{
CXTPPropertySheet::InsertPage(nIndex, pPage);

    LPCDLGTEMPLATE pResource= XTPResourceManager()->LoadDialogTemplate((UINT)(UINT_PTR)pPage->m_psp.pszTemplate);

    if (pResource)

    {

       pPage->m_psp.pResource = pResource;

       pPage->m_psp.dwFlags |= PSP_DLGINDIRECT;

    }

}