Yes this is the case, and now that you explain it like this I can confirm that the lights are acting as expected. I will test that binding fixes the issue this evening and mark a solution.
I think my confusion over this whole issue comes from the way the instructions are written, which I would not consider to be as clear as @Bry suggests they are.
The lack of clarity to me comes from the binding comment being in the wiring schematics section. If you read step 5 of the install guide the last part of that instruction (after wiring schematics) states:
Once your switch is wired correctly, please restore power. If your switch is wired in a multi-way setup and/or you want the switch to be a dimmer, you must program your switch to work in the Pre-Programming section below. It will not work properly without programming it.
IMPORTANT: Once power is restored to your switch, you should see the LED bar pulsing blue – this means it is looking for a hub to pair to. If you want to quickly pair your switch, please put your hub in pairing mode. We recommend moving to the Pre-Programming section first to ensure your switch works properly before pairing.
In any technical manual I’ve ever used, the step on binding should be documented in step 5, with the wiring schematics link taking me to a page that only contains schematics. While I understand trying not to duplicate information, if zigbee binding is only pertinent to the blue switches putting that information in step 5 (rather than binding being found in the advanced setup section much later) makes much more sense. At the very least a referential note to binding for multi-way should be included to avoid the erroneous assumption (that I made) that after working through Pre-Setup both switches will operate as expected which again based on the documentation in Pre-Setup suggests that it would.
Hopefully that makes some sense; either way, thank you all for the help with this.