The issue here appears to be with my compiler tools - I do not use Microsoft C#, but RemObjects Oxygene.
If I build a simple example using standard Microsoft C# in .NetFramework , I get several DLL's copied to my bin/Debug directory that do not get copied in the equivalent Oxygene project. These are CpuMathNative.dll, LdaNative.dll, libiomp5md.dll, MklImports.dll and MklProxyNative.dll . The C# project works as expected and without issue.
If I copy those same DLL's into the debug folder of my Oxygene project, it works as per the C# version.
The issue therefore appears to be with the RemObjects tool chain. I will take the issue up with them.