Thanks ramirojoaquin.
I got it working in the end. All nginx mods / rules added to core are done using include files (so I don't lose them) and as I had not included the files in the correct place for each vhost it was actualy ignoring them.
As soon as I included them inside the location / { } block it worked.
Strange, I don't see any any rules for nginx in the W3TC "Install" tab ?