Thank you very much thimon, I have managed to find an old GPO which was getting rid of the option, under User Configuration -> Policies -> Admin Templates -> Start Menu and Taskbar -> Remove pinned programs list from the Start Menu - Enabled.
If I turn that off, the menu item appears, sadly no Windows Explorer window appears though, so I'm assuming some other policy setting, somewhere in an OU is causing me problems :-(.
FragglePete - No I haven't yet seen that, I'm not actually aware how to look at inside previews but I'll have a look now, thanks :-)!!