Now this is interesting...
I had given up ever getting this to work but today I picked up Terminator Salvation and tried again.
This file works fine with no errors at all when streamed from my laptop!
It errors when I try to run it directly from my NAS device with a "file type not supported" message, but I can live with that.
In another weird twist, the Hellboy2 digital copy I have still reports that the "Licence is unavailable, media player is not authorized blah" when I try to run it from my laptop, but it also no longer works directly on the laptop in WMP11 like it did before. In fact, when I try to run it there it now prompts me for the authorization code again, which won't work because I used it when I initially downloaded it....

Lastly, the X-Men3 digital copy now works fine off my laptop, which would fail before.
I have no idea what is going on, but it is working more like I would expect now - for some unknown reason - but my Hellboy2 digital copy appears to have toasted its own license key so that is the reason that one seems to be no good now.
I did get an XP Pro update from SP2 to SP3 which might be making the difference, which is why I'm posting this here in the hope it helps someone else.
/Dodgy