Hmm, not sure what I'm doing wrong. It displays correctly in PowerShell. In Windows Terminal, it shows a blinking cursor instead of the box, and it makes it look like the cursor is one to the left of where it actually is

Not sure about the cursor being 1 to the left of where you'd expect but the box behaviour is something you need to specify in your .vimrc otherwise it'll use the default cursor for the terminal. Something like this may be what you're used to:

let &t_SI .= "\<Esc>[4 q"

let &t_EI .= "\<Esc>[2 q"

You probably also want set ttym=sgr if you want mouse interactions to be sent properly.

Yep that was it. Many thanks.

Any time, it's all a bit arcane really I'm not sure how anyone is supposed to figure it out without having been told themselves.

Love your username by the way!