I worked out what was wrong. For some reaason the wp_woocommerce_tax_rate_locations table was missing in the mySQL database.
I ran the following script in phpMyAdmin and all the correct TAX/VAT levels started to appear!
CREATE TABLE IF NOT EXISTS wp_woocommerce_tax_rate_locations (
location_id bigint(20) NOT NULL AUTO_INCREMENT,
location_code varchar(255) NOT NULL,
tax_rate_id bigint(20) NOT NULL,
location_type varchar(40) NOT NULL,
PRIMARY KEY (location_id),
KEY tax_rate_id (tax_rate_id),
KEY location_type (location_type),
KEY location_type_code (location_type,location_code)
) ENGINE=MyISAM DEFAULT CHARSET=utf8 AUTO_INCREMENT=1 ;
