Finally got a chance to attempt this but have now walked into what I hope is the first and only issue.
After I move the SQL onto a central SQL Express 2005 box I am seeing the following on the Domino console:
Unable to open BESMgmt database: Login failed for user 'NT AUTHORITY\ANONYMOUS LOGON'.0x80040E4D NativeError=18456
The BES Server Management Utility successfully logs into the remote SQL using SQL authentication. If it is relevant the SQL is being hosted on a Domain Controller but the BES is on a standalone server.