HOORAY!
I shouldn’t speak too soon, but I think I have fixed it.
I was beginning to think that the el-cheapo dongle wasn’t playing nicely with the zero and I think that is partly the case. I thought I was getting interference through the USB OTG cable, and it also looks like that is partly the case. (well, there is interference)
I had been so concerned about reducing the OTG cable length (even soldering a micro USB connector directly to a type-A USB) that I forgot the obvious. Try moving it further away!
I had tried an extender cable with the RPi3 a few weeks ago without success (reduced my range). But, I found my other USB extender cable today and tried it on the RPi3 and the range was the same so, used it to move the dongle further from the zero and now my range and message rate appear to be the same as the RPi3!!!
Geez! What a palaver that was!
I’ve had to shut down PF (because it was using 45% cpu so cpu was over 100%) so I won’t get a nice polar plot to compare unfortunately.