Thanks for your quick reply. I wondered if there would be a name for it. I have contacted my hosts (UKFAST) but it's difficult to describe the issue without knowing exactly what's going on.
I don't suppose you know if they disable it by default by any chance? Long shot I know :)
Could you briefly explain what a loopback HTTP connection is and how it works in the world of Wordpress? If I can understand what's going on I can maybe speak more confidently to my hosts about the issue.