Ok, got the fuel mode sorted with EFI live - you tuning guys probably already know, but I'll put it in for future reference anyway.
The actual open-, closed-loop mode is FLAG 35, bit 6. I changed the dashboard to show this status flag, and it worked perfectly.
There is another parameter that EFILIVE claims is the fuel mode at FLAG 32, bit 2 (the status flag I was using). I am not sure what this is, but as alex2_s mentioned, it could be the lean cruise mode.
Cutting the pink wire appears to have cut my city fuel economy from ~15L/100km, down to ~12L/100km. Highway fuel economy hasn't changed much. I am still keen to do the proper fix on this though.