*** UPDATE***
Still can't get the Hero to sync the Exchange calendar - emails + contacts are fine. Have deleted the account, re-created etc etc etc.
I have some other HTC handsets here too - WM6.0 based handsets are fine, everything syncs. WM6.1 or 6.5 and iPhones display the same problem as the Hero - cannot sync the calendar but all else is good.
I have disabled/enabled the device security settings in exchange and tried a raft of different password and control settings with no affect to the handsets concerned. I do think this is an Exchange issue as Activesync/iPhone-sync/Android-sync are probably very different but working on a common exchange server with a common problem.
Anyone have admin rights to an exchange server want to create a login/mailbox for me so that I can test?