Hi again,
Alas, the plot thickens. I did some more background research and also spoke to my exhaust guy. It seems we were barking up the wrong tree and the PH 5061 headers are fitted with the EGR valve option due to them suiting various models, some with EGR compatibility and some without (hence it being blank on the PM website). He explained that the fitting/extension is actually sealed and that the installer drills through it if required.
He also said that, had there been a leak there, the car would have been bloody loud and generally running like crap. I finished work, ran a length of wire into the tube and found that it was indeed sealed, about 5mm below the opening that I initially felt with my finger. Thus, another false lead.
Anyway, I've bought some PEC sensors and hope to have them here mid-week. Then, it's swap time and fingers crossed! If that fails I'm at a loss once more.
Cheers.