I figured out what the issue is in the end.
My PC host has a Killer brand network card. Last week I had to reinstall its driver due to a Windows issue. When that happened the Killer driver suite has a feature called "Advanced Stream Detect" which was on by default. This is the feature that if left on seems to break the Horizon client connection and when off, Horizon works fine - confirmed now.
I had a sudden realization tonight that the driver was changed recently and so I went turned off the ASD feature and Horizon was happy again.
I wrote to Killer a year ago when I purchased my PC which is when I first found the same problem that if the ASD feature was on it was doing some screwy things to some other apps. I stopped using their driver back then but forgot about it when I had the driver issue recently and it got me again!
Thanks for the help all and sorry for wasting your time.